ON THE AMERICAN OPTION PROBLEM
type: Item
instance of: scholarly article
title: ON THE AMERICAN OPTION PROBLEM
zbMATH Open document ID: 1109.91028
author: Goran Peskir
published in: Mathematical Finance
publication date: 2005-08-17T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 2195376
zbMATH Keywords: arbitrage-free price
zbMATH Keywords: optimal stopping
zbMATH Keywords: smooth fit
zbMATH Keywords: geometric Brownian motion
zbMATH Keywords: free-boundary problem
zbMATH Keywords: nonlinear integral equation
zbMATH Keywords: local time-space calculus
zbMATH Keywords: curved boundary
MaRDI profile type: Publication
full work available at URL: j.0960-1627.2005.00214.x
OpenAlex ID: W3124827703
cites work: Q4368791
cites work: On integral equations arising in the first-passage problem for Brownian motion
cites work: Q3244632
cites work: On optimal stopping and free boundary problems
DOI: 10.1111/J.0960-1627.2005.00214.X
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description: scientific article; zbMATH DE number 2195376