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GENERAL DUALITY FOR PERPETUAL AMERICAN OPTIONS - MaRDI portal

GENERAL DUALITY FOR PERPETUAL AMERICAN OPTIONS (Q3168856)

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GENERAL DUALITY FOR PERPETUAL AMERICAN OPTIONS
scientific article

    Statements

    title
    GENERAL DUALITY FOR PERPETUAL AMERICAN OPTIONS (English)
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    author
    Aurélien Alfonsi
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    Benjamin Jourdain
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    publication date
    27 April 2011
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    zbMATH Keywords
    perpetual American options
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    Dupire's formula
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    call-put duality
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    calibration of volatility
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    optimal stopping
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    cites work
    Q4226821
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    Identifiers

    zbMATH DE Number
    5881462
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    arXiv ID
    math/0612649
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    OpenAlex ID
    W2051375734
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