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zbMath1286.91136MaRDI QIDQ3436981

Jörg Kampen

Publication date: 11 May 2007

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

zbMATH Keywords

dependence of American call value on volatility mean stochastic comparison

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Initial value problems for second-order parabolic equations (35K15)

Related Items (1)

Generalisation of Hajek's stochastic comparison results to stochastic sums

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