scientific article; zbMATH DE number 7703270

MaRDI QIDQ6161830zbMATH OpenFDO

Authors Henrik Wanntorp

Publication date 27 June 2023

Full work available at URL https://urn.kb.se/resolve?urn=urn%3Anbn%3Ase%3Auu%3Adiva-9516

zbMATH Keywords

American optionsfree boundary problemshedgingmodel robustnessoptimal stoppingoption pricing

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)

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(3)

• From Disorder Detection to Optimal Stopping and Mathematical Finance
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