\(\pi \) options

DOI10.1016/j.spa.2010.02.008zbMath1200.91290OpenAlexW4213126290MaRDI QIDQ981010

Xin Guo, Mihail Zervos

Publication date: 8 July 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2010.02.008

zbMATH Keywords

variational inequalityoptimal stoppingseparatrixrunning maximum processAmerican-type call optiontwo dimensional free-boundary problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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