Pricing American drawdown options under Markov models (Q2030371)
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scientific article; zbMATH DE number 7355919
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing American drawdown options under Markov models |
scientific article; zbMATH DE number 7355919 |
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Pricing American drawdown options under Markov models (English)
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7 June 2021
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finance
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drawdown
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optimal stopping
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Markov chain approximation
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linear complementarity problem
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