A direct solution method for pricing options involving the maximum process
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Publication:2412388
DOI10.1007/s00780-017-0343-5zbMath1391.91155OpenAlexW2753628878MaRDI QIDQ2412388
Publication date: 23 October 2017
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-017-0343-5
Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)
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