An integration by parts type formula for stopping times and its application

DOI10.1007/s11009-016-9512-9zbMath1408.91224OpenAlexW2510161883MaRDI QIDQ1707041

Tomonori Nakatsu

Publication date: 28 March 2018

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-016-9512-9

zbMATH Keywords

greeksstochastic differential equationstopping timeintegration by partsAmerican option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical integration (65D30)

Cites Work

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• Randomization and the American Put
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS

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