Perpetual American Options Under Lévy Processes

DOI10.1137/S0363012900373987zbMath1025.60021OpenAlexW2108593249MaRDI QIDQ4537806

Svetlana Boyarchenko, Sergei Levendorskii

Publication date: 23 June 2002

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012900373987

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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