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A new approach for pricing discounted American options - MaRDI portal

A new approach for pricing discounted American options (Q2656825)

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English
A new approach for pricing discounted American options
scientific article

    Statements

    title
    A new approach for pricing discounted American options (English)
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    publication date
    16 March 2021
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    zbMATH Keywords
    optimal stopping
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    discounted American options
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    optimal exercise boundary
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    free boundary problems
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    perpetual options
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    cites work
    Q3150773
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    Q4035104
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    Q4002114
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    Q4349551
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    Q4002884
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    Q5283920
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65C05
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    65M06
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    35Q91
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    91G20
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    60G40
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    zbMATH DE Number
    7323685
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    OpenAlex ID
    W3128039141
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