Discounted optimal stopping for maxima in diffusion models with finite horizon (Q2461942)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Discounted optimal stopping for maxima in diffusion models with finite horizon |
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Discounted optimal stopping for maxima in diffusion models with finite horizon (English)
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23 November 2007
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geometric Brownian motion
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parabolic free-boundary problem
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change-of-variable formula
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American fixed-strike lookback option
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finite time horizon
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