Perpetual American options with asset-dependent discounting
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Publication:6139952
DOI10.1007/s00245-023-10084-4arXiv2007.09419OpenAlexW3121711493MaRDI QIDQ6139952
Zbigniew Palmowski, Jonas Al-Hadad
Publication date: 19 January 2024
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2007.09419
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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