On perpetual American options in a multidimensional Black–Scholes model
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Publication:5094573
DOI10.1080/17442508.2021.1993444zbMath1492.91386arXiv1901.00308OpenAlexW3208821360MaRDI QIDQ5094573
Publication date: 3 August 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1901.00308
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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