A Free Boundary Problem of a Real Option Model

DOI10.1137/080723089zbMath1180.91302OpenAlexW2001218428WikidataQ60171468 ScholiaQ60171468MaRDI QIDQ3654425

Colin Atkinson

Publication date: 6 January 2010

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/080723089

zbMATH Keywords

analytical solutionreal optionsfree boundary

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Free boundary problems for PDEs (35R35) Volterra integral equations (45D05) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (1)

Fast and accurate calculation of American option prices

This page was built for publication: A Free Boundary Problem of a Real Option Model