Asymptotic analysis of shout options close to expiry
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Publication:469983
DOI10.1155/2014/920385zbMath1298.91152WikidataQ59049827 ScholiaQ59049827MaRDI QIDQ469983
Roland Mallier, Ghada Alobaidi
Publication date: 11 November 2014
Published in: ISRN Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/920385
91G20: Derivative securities (option pricing, hedging, etc.)
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
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Cites Work
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