A semilinear Black and Scholes partial differential equation for valuing American options
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Publication:1775998
DOI10.1007/s007800200091zbMath1064.60080OpenAlexW2020885938WikidataQ115385487 ScholiaQ115385487MaRDI QIDQ1775998
Kristin Reikvam, Kenneth Hvistendahl Karlsen, Fred Espen Benth
Publication date: 20 May 2005
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800200091
existenceuniquenessviscosity solutionAmerican optionscomparison resultsemilinear Black and Scholes partial differential equation
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