Free boundary problems and perpetual American strangles
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Publication:5397447
DOI10.1080/14697688.2013.770159zbMath1281.91154OpenAlexW2042769339MaRDI QIDQ5397447
Yuan-Chung Sheu, Ming-Chi Chang
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2013.770159
option pricingjump-diffusion modelAmerican option contractsLévy-model settingperpetual American strangles
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