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Optimal liquidation of a call spread - MaRDI portal

Optimal liquidation of a call spread (Q3578685)

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Optimal liquidation of a call spread
scientific article

    Statements

    title
    Optimal liquidation of a call spread (English)
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    author
    Erik Ekström
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    Carl Lindberg
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    Johan Tysk
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    Henrik Wanntorp
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    publication date
    20 July 2010
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    zbMATH Keywords
    optimal stopping
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    call spread
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    Bachelier model
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G10
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    60G40
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    zbMATH DE Number
    5758489
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    OpenAlex ID
    W1995802520
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