Laplace transform method for pricing American CEV strangles option with two free boundaries
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Publication:1727172
DOI10.1155/2018/5908646zbMath1422.91735OpenAlexW2892175967MaRDI QIDQ1727172
Publication date: 20 February 2019
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2018/5908646
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)
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Cites Work
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