Perpetual American options in diffusion-type models with running maxima and drawdowns (Q271879)
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scientific article; zbMATH DE number 6570919
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Perpetual American options in diffusion-type models with running maxima and drawdowns |
scientific article; zbMATH DE number 6570919 |
Statements
Perpetual American options in diffusion-type models with running maxima and drawdowns (English)
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20 April 2016
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perpetual American options
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diffusion-type models
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multi-dimensional optimal stopping problem
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Brownian motion
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running maximum drawdown process
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free-boundary problem
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instantaneous stopping
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smooth fit
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normal reflection
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change-of-variable formula
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