Double continuation regions for American and Swing options with negative discount rate in Lévy models
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Publication:5109987
DOI10.1111/mafi.12218OpenAlexW2962832053MaRDI QIDQ5109987
Joanna Tumilewicz, Marzia De Donno, Zbigniew Palmowski
Publication date: 14 May 2020
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1801.00266
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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