American option pricing under financial crisis

DOI10.1002/ASMB.2310zbMath1420.91472OpenAlexW2794178062MaRDI QIDQ4620243

Xuemei Luo, Kaili Xiang, Chuan Ding

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2310

zbMATH Keywords

penalty methodfinancial crisisAmerican option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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