Regularity of the free boundary of an American option on several assets
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Publication:3636924
DOI10.1002/cpa.20268zbMath1185.91178OpenAlexW2031122280MaRDI QIDQ3636924
Publication date: 30 June 2009
Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cpa.20268
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)
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