scientific article; zbMATH DE number 7703284

zbMATH Open1515.91006MaRDI QIDQ6161844

Erik Ekström

Publication date: 27 June 2023

Full work available at URL: https://urn.kb.se/resolve?urn=urn%3Anbn%3Ase%3Auu%3Adiva-4574

Title of this publication is not available (Why is that?)

zbMATH Keywords

robustnessoptimal stoppingconvexitysuperreplicationAmerican optionsparabolic equationsfree boundary problemsvolatilitymathematical analysissmooth fitgame optionsexcessive functionsRussian optionsmonotonicity in the volatility

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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