Bounds for the American perpetual put on a stock index
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Publication:2731150
DOI10.1239/jap/996986643zbMath0979.91042MaRDI QIDQ2731150
Publication date: 29 July 2001
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/996986643
62P05: Applications of statistics to actuarial sciences and financial mathematics
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
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