Some calculations for Israeli options
From MaRDI portal
Publication:1887265
DOI10.1007/s00780-003-0104-5zbMath1098.91055MaRDI QIDQ1887265
Publication date: 24 November 2004
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-003-0104-5
option pricing; American options; stochastic games; fluctuation theory; Israeli options; Russian options
60G40: Stopping times; optimal stopping problems; gambling theory
91A15: Stochastic games, stochastic differential games
91G20: Derivative securities (option pricing, hedging, etc.)
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