Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
Erhan Bayraktar; Hao Xing
| Year of publication: |
2009
|
|---|---|
| Authors: | Bayraktar, Erhan ; Xing, Hao |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 70.2009, 3, p. 505-525
|
| Subject: | Optionspreistheorie | Option pricing theory | Suchtheorie | Search theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Volatilität | Volatility | Innovationsdiffusion | Innovation diffusion |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003909291