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Optimal stopping, free boundary, and American option in a jump-diffusion model - MaRDI portal

Optimal stopping, free boundary, and American option in a jump-diffusion model (Q5961568)

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scientific article; zbMATH DE number 981778
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Optimal stopping, free boundary, and American option in a jump-diffusion model
scientific article; zbMATH DE number 981778

    Statements

    title
    Optimal stopping, free boundary, and American option in a jump-diffusion model (English)
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    DOI
    10.1007/BF02683325
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    author
    Huyên Pham
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    publication date
    8 July 1997
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    Mathematics Subject Classification ID
    60G40
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    91B28
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    93E20
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    zbMATH DE Number
    981778
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    zbMATH Keywords
    optimal stopping
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    jump-diffusion model
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    American option
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    free-boundary problem
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    OpenAlex ID
    W2023142000
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