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scientific article; zbMATH DE number 7656355 - MaRDI portal

scientific article; zbMATH DE number 7656355

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Publication:5878797

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DOI10.22055/JAMM.2022.39634.1999MaRDI QIDQ5878797

S. Heidari, Hossein Azari

Publication date: 22 February 2023

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

zbMATH Keywords

finite difference method discrete maximum principle jump-diffusion model regime-switching model perpetual American option

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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