Boundary evolution equations for American options
Daniel Mitchell; Jonathan Goodman; Kumar Muthuraman
| 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 | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Suchtheorie | Search theory | Black-Scholes-Modell | Black-Scholes model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010486015