MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
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Publication:4226866
DOI10.1111/j.1467-9965.1996.tb00118.xzbMath0919.90009OpenAlexW2127565542MaRDI QIDQ4226866
Hans U. Gerber, Elias S. W. Shiu
Publication date: 26 May 1999
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1996.tb00118.x
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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