Optimal stopping and American options with discrete dividends and exogenous risk
type: Item
instance of: scholarly article
title: Optimal stopping and American options with discrete dividends and exogenous risk
zbMATH Open document ID: 1079.91020
published in: Insurance Mathematics \& Economics
publication date: 2005-01-13T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 2127225
zbMATH Keywords: No arbitrage evaluation
zbMATH Keywords: American options
zbMATH Keywords: Discrete dividends
zbMATH Keywords: Restrictions on exercise dates
zbMATH Keywords: Optimal stopping
author: Anna Battauz
author: M. Pratelli
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2004.03.005
OpenAlex ID: W2082207337
cites work: Quadratic hedging for asset derivatives with discrete stochastic dividends.
cites work: DIVIDENDS AND UNCERTAINTY: EVIDENCE FROM THE ITALIAN MARKET
cites work: ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
cites work: Variational inequalities and the pricing of American options
cites work: On the approximation of optimal stopping problems with application to financial mathematics
cites work: The pricing of the American option
cites work: A note on the terminal date security prices in a continuous time trading model with dividends
cites work: Q3996259
DOI: 10.1016/J.INSMATHECO.2004.03.005
description: scientific article; zbMATH DE number 2127225