MATHEMATICAL PROPERTIES OF AMERICAN CHOOSER OPTIONS
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Publication:4645333
DOI10.1142/S0219024918500620zbMath1419.91624OpenAlexW2952174407WikidataQ128813561 ScholiaQ128813561MaRDI QIDQ4645333
Publication date: 10 January 2019
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024918500620
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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- Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
- ON THE AMERICAN OPTION PROBLEM
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