Optimal stopping in Hilbert spaces and pricing of American options
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Publication:1806287
DOI10.1007/s001860050040zbMath0991.91033OpenAlexW1492126019MaRDI QIDQ1806287
Andrzej Świȩch, Dariusz Gątarek
Publication date: 3 September 2002
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s001860050040
obstacle problemsoptimal stoppingoption pricingviscosity solutionsAmerican interest rate optionsHilbert-space valued diffusion
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Related Items (7)
Optimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequality ⋮ Variational inequalities in Hilbert spaces with measures and optimal stopping problems ⋮ Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model ⋮ Regularity for obstacle problems in infinite dimensional Hilbert spaces ⋮ On a Class of Infinite-Dimensional Singular Stochastic Control Problems ⋮ A simulation approach to optimal stopping under partial information ⋮ Viscosity Solution of Optimal Stopping Problem for Stochastic Systems with Bounded Memory
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