Pricing Perpetual American Compound Options under a Matrix-Exponential Jump-Diffusion Model (Q4682493)
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scientific article; zbMATH DE number 6938638
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing Perpetual American Compound Options under a Matrix-Exponential Jump-Diffusion Model |
scientific article; zbMATH DE number 6938638 |
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Pricing Perpetual American Compound Options under a Matrix-Exponential Jump-Diffusion Model (English)
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18 September 2018
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option pricing
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perpetual American compound option
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optimal stopping problem
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jump-diffusion process
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