American options on assets with dividends near expiry
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Publication:4795994
DOI10.1111/1467-9965.02008zbMath1031.91047MaRDI QIDQ4795994
Joseph B. Keller, Rachel Kuske, Jonathan D. Evans
Publication date: 13 March 2003
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.02008
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
35G15: Boundary value problems for linear higher-order PDEs
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