scientific article; zbMATH DE number 5251929

zbMath1148.91022MaRDI QIDQ5447825

V. V. Morozov, Alexander Vasin

Publication date: 20 March 2008

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

zbMATH Keywords

net present valueAmerican optionoptimal investment ruleCapital project evaluation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (6)

An upper bound on the value of an infinite American call option on two assets ⋮ An upper bound on the value of an infinite American call option on difference and sum of two assets ⋮ A bound on the value of a two-sided Margrabe American option with finite expiration ⋮ A lower bound on the value of an infinite American call option on two assets ⋮ Valuation of a nonexpiring American option on the maximum of a risky and a riskless asset ⋮ A bound on the value of a two-sided Margrabe infinite American option

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