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Early Exercise Boundary of an American Put - MaRDI portal

Early Exercise Boundary of an American Put

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Publication:4972150

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DOI10.7546/CRABS.2019.06.03zbMath1438.91168OpenAlexW2954703844MaRDI QIDQ4972150

Tsvetelin S. Zaevski

Publication date: 22 November 2019

Full work available at URL: https://doi.org/10.7546/crabs.2019.06.03

zbMATH Keywords

American options optimal stopping time early exercise boundary

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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