The valuation of American options in a multidimensional exponential Lévy model
Tomasz Klimsiak, Andrzej Rozkosz
| Year of publication: |
2018
|
|---|---|
| Authors: | Klimsiak, Tomasz ; Rozkosz, Andrzej |
| Subject: | American option | backward stochastic differential equation | exponential Lévy model | obstacle problem | optimal stopping | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Suchtheorie | Search theory | Optionsgeschäft | Option trading |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12163 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011969076