Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Academic Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Parabolic Free Boundary Problem"
Narrow search
Narrow search
Year of publication
From:
To:
Subject
All
geometric Brownian motion
2
parabolic free-boundary problem
2
American Asian option
1
American lookback option problem
1
British Asian option
1
Discounted optimal stopping problem
1
European Asian option
1
a change-of-variable formula with local time on surfaces
1
a nonlinear Volterra integral equation of the second kind
1
arbitrage-free price
1
arithmetic/geometric average
1
boundary surface
1
finite horizon
1
fixed/floating strike
1
flexible Asian options
1
liquid/illiquid market
1
local time-space calculus
1
maximum process
1
nonlinear integral equation
1
normal reflection
1
optimal stopping
1
rational exercise boundary
1
smooth fit
1
the Shiryaev process
1
more ...
less ...
Online availability
All
Free
2
Type of publication
All
Book / Working Paper
2
Language
All
English
1
Undetermined
1
Author
All
Gapeev, Pavel V.
1
Glover, Kristoffer
1
Peskir, Goran
1
Samee, Farman
1
Institution
All
Finance Discipline Group, Business School
1
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
1
Published in...
All
Research Paper Series / Finance Discipline Group, Business School
1
SFB 649 Discussion Papers
1
Source
All
RePEc
2
Showing
1
-
2
of
2
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
The British Asian Option
Glover, Kristoffer
;
Peskir, Goran
;
Samee, Farman
-
Finance Discipline Group, Business School
-
2009
,
parabolic
free
-
boundary
problem
, nonlinear integral equation, local time-space calculus. 1 introduced. Similarly to [7] and [8 …
Persistent link: https://www.econbiz.de/10004984481
Saved in:
2
Discounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon
Gapeev, Pavel V.
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2006
region determined by an increasing continuous boundary surface to a
parabolic
free-boundary
problem
. Using the change … surface to a
parabolic
free-boundary
problem
. Using the change-of-variable formula with local time on surfaces we show that … process,
parabolic
free-boundary
problem
, smooth flt, normal re ection, a nonlinear Volterra inte- gral equation of the second …
Persistent link: https://www.econbiz.de/10005677895
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
