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zbMath1140.91044arXivmath/0511106MaRDI QIDQ3427346

Frederik S. Herzberg

Publication date: 19 March 2007

Full work available at URL: https://arxiv.org/abs/math/0511106

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

zbMATH Keywords

American options barrier options continuity corrections exercise regions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (1)

Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result

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