Valuing finite-lived Russian options
type: Item
instance of: scholarly article
title: Valuing finite-lived Russian options
zbMATH Open document ID: 1148.90333
author: Toshikazu Kimura
published in: European Journal of Operational Research
publication date: 2008-04-07T00:00:00Z
Mathematics Subject Classification ID: 90B99
Mathematics Subject Classification ID: 90C53
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 5261319
zbMATH Keywords: finance
zbMATH Keywords: Russian options
zbMATH Keywords: optimal stopping problem
zbMATH Keywords: free boundary problem
zbMATH Keywords: Laplace transforms
describes a project that uses: Algorithm 368
MaRDI profile type: Publication
full work available at URL: j.ejor.2007.05.026
OpenAlex ID: W2038749294
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DOI: 10.1016/J.EJOR.2007.05.026
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description: scientific article