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Publication:2724699
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zbMath0989.91034MaRDI QIDQ2724699

Alexander G. Kukush, Dmitrii S. Silvestrov

Publication date: 12 July 2001


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

optimal stoppingMarkov processAmerican call optionsconvex pay-off function


Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Continuous-time Markov processes on general state spaces (60J25) Microeconomic theory (price theory and economic markets) (91B24) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov and semi-Markov decision processes (90C40)


Related Items (4)

Optimal Stopping and Reselling of European Options ⋮ Valuation and optimal strategies for American options under a Markovian regime-switching model ⋮ Convergence of option rewards for multivariate price processes ⋮ Optimal security liquidation algorithms




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