Exit option for a class of profit functions
DOI10.1080/00207160.2016.1227435zbMath1395.49022OpenAlexW2510612742MaRDI QIDQ3174920
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Publication date: 18 July 2018
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2016.1227435
Brownian motionreal optionsoptimal stopping timefree-boundary problemdynamic programming principleexit option
Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Numerical solution of boundary value problems involving ordinary differential equations (65L10)
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Cites Work
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