Some mathematical results in the pricing of American options
From MaRDI portal
Publication:4294297
DOI10.1017/S0956792500001194zbMath0797.60051MaRDI QIDQ4294297
S. D. Howison, Paul Wilmott, J. N. Dewynne, I. Rupf
Publication date: 10 October 1994
Published in: European Journal of Applied Mathematics (Search for Journal in Brave)
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
35K20: Initial-boundary value problems for second-order parabolic equations
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
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