On some generalized American style derivatives

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DOI10.1007/s40314-024-02625-6MaRDI QIDQ6537148

Tsvetelin S. Zaevski

Publication date: 14 May 2024

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

optimal boundaries American derivatives perpetual derivatives dividend rates finite maturities power payment functions

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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