ON THE AMERICAN OPTION PROBLEM
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Publication:5464339
DOI10.1111/j.0960-1627.2005.00214.xzbMath1109.91028OpenAlexW3124827703MaRDI QIDQ5464339
Publication date: 17 August 2005
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.0960-1627.2005.00214.x
optimal stoppingnonlinear integral equationgeometric Brownian motionfree-boundary problemsmooth fitcurved boundarylocal time-space calculusarbitrage-free price
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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