Pricing of perpetual American options in a model with partial information
Year of publication: |
2012
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Authors: | Gapeev, Pavel V. |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 1, p. 1-21
|
Subject: | Perpetual American option | stochastic dividend rate | discounted two-dimensional optimal stopping problem | stochastic boundary | diffusion process | hidden Markov chain | filtering estimate | innovation process | parabolic-type free-boundary problem | change-of-variable formula with local time on surfaces | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Suchtheorie | Search theory | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading |
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