An approximate moving boundary method for American option pricing
Year of publication: |
2015
|
---|---|
Authors: | Chockalingam, Arun ; Muthuraman, Kumar |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 240.2015, 2 (16.1.), p. 431-438
|
Subject: | Stochastic control | Optimal stopping | Free boundary PDEs | Approximate boundaries | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Suchtheorie | Search theory |
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