scientific article; zbMATH DE number 6402067

DOI10.13413/J.CNKI.JDXBLXB.2014.04.11zbMath1313.91187MaRDI QIDQ5498113

Geng Li, Benxi Zhu, Haiming Song, Qi Zhang

Publication date: 11 February 2015

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

zbMATH Keywords

Black-Scholes modeloptimal exercise boundaryAmerican lookback put option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

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