The valuation of American options in a multidimensional exponential Lévy model (Q4962464)
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scientific article; zbMATH DE number 6971521
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The valuation of American options in a multidimensional exponential Lévy model |
scientific article; zbMATH DE number 6971521 |
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The valuation of American options in a multidimensional exponential Lévy model (English)
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2 November 2018
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American option
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backward stochastic differential equation
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exponential Lévy model
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obstacle problem
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optimal stopping
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