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  • Search: subject:"parabolic-type free-boundary problem"
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diffusion process 3 Markov chain 2 Markov-Kette 2 Perpetual American option 2 Stochastic process 2 Stochastischer Prozess 2 change-of-variable formula with local time on surfaces 2 discounted two-dimensional optimal stopping problem 2 filtering estimate 2 hidden Markov chain 2 innovation process 2 parabolic-type free-boundary problem 2 stochastic boundary 2 stochastic dividend rate 2 Bayes-Statistik 1 Bayesian inference 1 Bayesian switching multiple disorder problem 1 Black-Scholes model 1 Black-Scholes-Modell 1 Brownian motion 1 Heun’s double confluent function 1 Mathematical programming 1 Mathematische Optimierung 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Search theory 1 Suchtheorie 1 Theorie 1 Theory 1 a change-of-variable formula with local time on surfaces 1 continuous-time Markov chain 1 coupled parabolic-type free-boundary problem 1 optimal switching problem 1
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Article 3
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Article in journal 2 Aufsatz in Zeitschrift 2
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English 2 Undetermined 1
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Gapeev, Pavel V. 2 GAPEEV, PAVEL V. 1
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International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1 Mathematics of operations research 1
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Bayesian switching multiple disorder problems
Gapeev, Pavel V. - In: Mathematics of operations research 41 (2016) 3, pp. 1108-1124
Persistent link: https://www.econbiz.de/10011520840
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Pricing of perpetual American options in a model with partial information
Gapeev, Pavel V. - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10009562132
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PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION
GAPEEV, PAVEL V. - In: International Journal of Theoretical and Applied … 15 (2012) 01, pp. 1250010-1
problem into a two-dimensional optimal stopping problem and the analysis of the associated parabolic-type free-boundary … problem. We also provide closed form estimates for the rational option price and the optimal exercise boundary. …
Persistent link: https://www.econbiz.de/10009651592
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