PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION
Year of publication: |
2012
|
---|---|
Authors: | GAPEEV, PAVEL V. |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 15.2012, 01, p. 1250010-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
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 |
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