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One-sided solutions for optimal stopping problems with logconcave reward functions - MaRDI portal

One-sided solutions for optimal stopping problems with logconcave reward functions (Q5203892)

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scientific article; zbMATH DE number 7141387
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English
One-sided solutions for optimal stopping problems with logconcave reward functions
scientific article; zbMATH DE number 7141387

    Statements

    title
    One-sided solutions for optimal stopping problems with logconcave reward functions (English)
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    author
    Yi-Shen Lin
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    Yi-Ching Yao
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    publication date
    9 December 2019
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    zbMATH Keywords
    American option pricing
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    threshold type
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    random walk
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    Lévy process
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    smooth fit
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    cites work
    Q4888858
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    Q4114551
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    Q4937701
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    Q4172681
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    Identifiers

    Mathematics Subject Classification ID
    60G40
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    62L15
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    60J10
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    60J65
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    zbMATH DE Number
    7141387
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    OpenAlex ID
    W2964083409
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    arXiv ID
    1710.04339
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    Wikidata QID
    Q127449366
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    DOI
    10.1017/APR.2019.4
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