Pricing American drawdown options under Markov models
Xiang Zhang, Lingfei Li, Gongqiu Zhang
| Year of publication: |
2021
|
|---|---|
| Authors: | Zhang, Xiang ; Li, Lingfei ; Zhang, Gongqiu |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 293.2021, 3 (16.9.), p. 1188-1205
|
| Subject: | Drawdown | Finance | Linear complementarity problem | Markov chain approximation | Optimal stopping | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Suchtheorie | Search theory | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2021.01.033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012533822