Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation (Q344266)
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scientific article; zbMATH DE number 6655201
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation |
scientific article; zbMATH DE number 6655201 |
Statements
Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation (English)
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22 November 2016
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free boundary problem
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integral equation
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American floating strike lookback option
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perpetual American floating strike lookback option
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Neumann problem
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Mellin transform
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