A new stopping time model: a solution to a free-boundary problem

DOI10.1007/s10957-011-9887-2zbMath1237.91213OpenAlexW1964033845MaRDI QIDQ2429405

Moawia Alghalith

Publication date: 27 April 2012

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-011-9887-2

zbMATH Keywords

stopping timeAmerican optionsfree boundaryviscosity solutions

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

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