scientific article

zbMATH Open1199.91208MaRDI QIDQ3640843

Yang Gao, Jin Liang

Publication date: 11 November 2009

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

zbMATH Keywords

optimal exercise boundaryvariation inequalityinstallment optionAmerican continuous-installment optionoptimal stopping boundary

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

Related Items (4)

Unnamed Item ⋮ Valuation of European continuous-installment options ⋮ Valuation of American passport option using a three-time level scheme ⋮ Valuation of American continuous-installment put options

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