Boundary evolution equations for American options
Year of publication: |
2014
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Authors: | Mitchell, Daniel ; Goodman, Jonathan ; Muthuraman, Kumar |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 24.2014, 3, p. 505-532
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Subject: | optimal stopping | American options | stochastic volatility | early exercise boundary | free-boundary problem | dynamic grid | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Suchtheorie | Search theory |
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