LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS
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Publication:5051184
DOI10.1017/S0269964820000492zbMath1505.91386MaRDI QIDQ5051184
Jingtang Ma, Zhen-Yu Cui, Wen-Yuan Li
Publication date: 22 November 2022
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0269964820000492
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
44A10: Laplace transform
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Cites Work
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