American rainbow option pricing formulae in uncertain environment

DOI10.1007/s40840-023-01581-4zbMath1527.91165MaRDI QIDQ6080549

Rong Gao, Xiaofang Yin

Publication date: 30 October 2023

Published in: Bulletin of the Malaysian Mathematical Sciences Society. Second Series (Search for Journal in Brave)

zbMATH Keywords

option pricinguncertain differential equationuncertain environmentAmerican rainbow option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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