CLOSED FORM OPTIMAL EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION (Q4990919)
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scientific article; zbMATH DE number 7353441
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CLOSED FORM OPTIMAL EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION |
scientific article; zbMATH DE number 7353441 |
Statements
CLOSED FORM OPTIMAL EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION (English)
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1 June 2021
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American put option
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geometric Brownian motion
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optimal stopping
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free-boundary problem
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integral equation
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