and smooth fit, normal reflection, a change-of-variable formula with local time on surfaces, perpetual lookback American … that the boundary g∗(s) is assumed to be continuously differentiable for s > K and applying the change-of-variable formula …(4) (1614–1640). [23] Peskir, G. (2004). A change-of-variable formula with local time on surfaces. Research Report No. 437, Dept …

region determined by an increasing continuous boundary surface to a parabolic free-boundary problem. Using the change-of-variable … surface to a parabolic free-boundary problem. Using the change-of-variable formula with local time on surfaces we show that … kind, boundary surface, a change-of-variable formula with local time on surfaces, American lookback option problem. 1 [22 …

returns time series. Using a sequential change of variable framework, we are able to cast more general stochastic volatility …