Optimal Hedging of a Perpetual American Put with a Single Trade
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Publication:4958394
DOI10.1137/20M1325265zbMath1471.91562arXiv2003.06249OpenAlexW3175535318MaRDI QIDQ4958394
Tiziano De Angelis, Cheng Cai, Jan Palczewski
Publication date: 8 September 2021
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2003.06249
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)
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Cites Work
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