A note on American options with varying exercise price

DOI10.1017/S0334270000007566zbMath0843.90014MaRDI QIDQ4868596

Paul Wilmott, J. N. Dewynne

Publication date: 5 May 1996

Published in: The Journal of the Australian Mathematical Society. Series B. Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

valuation of American options

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

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