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scientific article; zbMATH DE number 1453184 - MaRDI portal

scientific article; zbMATH DE number 1453184

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Publication:4955466

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zbMath0949.60079MaRDI QIDQ4955466

Publication date: 3 December 2000

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

dynamic programming barrier option jump-diffusion stock price

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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