American options on assets with dividends near expiry
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Publication:4795994
DOI10.1111/1467-9965.02008zbMath1031.91047OpenAlexW3121904677MaRDI QIDQ4795994
Joseph B. Keller, Jonathan D. Evans, Rachel Kuske
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
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Boundary value problems for linear higher-order PDEs (35G15)
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