A useful extension of Itô's formula with applications to optimal stopping
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Publication:2581206
DOI10.1007/s10114-004-0524-yzbMath1081.60036OpenAlexW2052331756MaRDI QIDQ2581206
Markus Jaeger, Gerold Alsmeyer
Publication date: 9 January 2006
Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10114-004-0524-y
Brownian motioncontinuous semimartingalegeometric Brownian motionAmerican put optionsmooth fit principlemultidimensional Itô formula
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