Pricing American options under Azzalini Ito-McKean skew Brownian motions
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Publication:6160632
DOI10.1016/J.AMC.2023.128040MaRDI QIDQ6160632
Athanasios A. Pantelous, Sultan Hussain, Muhammad Noorullah, Hifsa Arif
Publication date: 26 June 2023
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
American option pricingquadratic variationskew Brownian motionoptimal stopping problemnon-normal distribution
Applications of game theory (91A80) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)
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