scientific article; zbMATH DE number 6747112

DOI10.6043/j.issn.0438-0479.201603009zbMath1374.91131MaRDI QIDQ5277556

Rong Li, Jiaojiao Zhang, Shuguang Zhang, Xiuchun Bi

Publication date: 14 July 2017

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stochastic volatilityperturbation methodpartial differential equationPoisson equationperpetual American barrier options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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