Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach
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Publication:2846422
DOI10.1287/opre.2013.1167zbMath1273.91441OpenAlexW2109239475MaRDI QIDQ2846422
Publication date: 5 September 2013
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.2013.1167
optimal stoppingasset pricingoption pricingMarkov processesspectral theoryAmerican optionsdiffusionstime changebirth-and-death processesBermudan options
Derivative securities (option pricing, hedging, etc.) (91G20) Markov and semi-Markov decision processes (90C40)
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