A note on the perpetual American straddle
From MaRDI portal
Publication:5012014
DOI10.20948/mathmontis-2019-45-10zbMath1488.91139MaRDI QIDQ5012014
Publication date: 30 August 2021
Published in: Mathematica Montisnigri (Search for Journal in Brave)
Full work available at URL: https://pub.uni-bielefeld.de/record/2903703
optimal stopping; Black-Scholes model; mathematical finance; derivative pricing; perpetual American options; American straddle
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)