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geometric Brownian motion
American lookback option
1
American lookback option problem
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Arbeitskampf
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British lookback option with fixed strike
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Discounted optimal stopping problem
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Großbritannien
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Industrial action
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a change-of-variable formula with local time on surfaces
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a nonlinear Volterra integral equation of the second kind
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arbitrage-free price
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boundary surface
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finite horizon
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fixed strike
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local time-space calculus
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Gapeev, Pavel V.
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Kitapbayev, Yerkin
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Applied mathematical finance
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The British lookback option with fixed strike
Kitapbayev, Yerkin
- In:
Applied mathematical finance
22
(
2015
)
3/4
,
pp. 238-260
Persistent link: https://www.econbiz.de/10011436202
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2
Discounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon
Gapeev, Pavel V.
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2006
kind, boundary surface, a change-of-variable formula with local time on surfaces,
American
lookback
option
problem. 1 [22 …
Persistent link: https://www.econbiz.de/10005677895
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