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Optimal exercise policies for call options and their valuation - MaRDI portal

Optimal exercise policies for call options and their valuation

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Publication:1206120

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DOI10.1016/0898-1221(92)90239-EzbMath0782.90010MaRDI QIDQ1206120

Katsushige Sawaki

Publication date: 1 April 1993

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

Markov chain discrete time option model optimal exercise policies

Mathematics Subject Classification ID

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