Valuation and Parities for Exchange Options
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Publication:5250041
DOI10.1137/120884973zbMath1422.91708arXiv1206.3220OpenAlexW2109317284MaRDI QIDQ5250041
Publication date: 15 May 2015
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1206.3220
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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