Optimal Stopping and Reselling of European Options
DOI10.1007/978-0-8176-4971-5_29zbMath1405.91641OpenAlexW1576263022MaRDI QIDQ4562221
Dmitrii S. Silvestrov, Robin Lundgren
Publication date: 18 December 2018
Published in: Mathematical and Statistical Models and Methods in Reliability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-0-8176-4971-5_29
convergenceoptimal stoppingAmerican optionEuropean optionreselling problembinomial-trinomial approximation
Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (1)
Cites Work
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