Valuation of American continuous-installment put options

DOI10.3969/J.ISSN.1000-5641.2019.03.004zbMATH Open1438.91149OpenAlexW3003765157MaRDI QIDQ5195690

Yuanjun Cen

Publication date: 2 October 2019

Full work available at URL: https://xblk.ecnu.edu.cn/EN/10.3969/j.issn.1000-5641.2019.03.004

zbMATH Keywords

option pricingfree boundaryAmerican put optioninstallment option

Mathematics Subject Classification ID

PDEs in connection with biology, chemistry and other natural sciences (35Q92) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Valuation of European continuous-installment options ⋮ Valuation of American partial barrier options

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