Sensitivity analysis of the optimal exercise boundary of the American put option (Q313736)
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scientific article; zbMATH DE number 6626296
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sensitivity analysis of the optimal exercise boundary of the American put option |
scientific article; zbMATH DE number 6626296 |
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Sensitivity analysis of the optimal exercise boundary of the American put option (English)
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12 September 2016
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American put option
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diffusion model
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stochastic volatility
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parabolic obstacle problem
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optimal exercise boundary
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value function
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