Search Results - subject:"excessive functions"

A method for pricing American options using semi-infinite linear programming

Christensen, Sören - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 156-172

Persistent link: https://www.econbiz.de/10010256174

Alvarez, Luis H. R. - 2006

We consider a class of Dynkin games in the case where the underlying process evolves according to a one-dimensional but otherwise general diffusion. We establish general conditions under which both the value and the saddle point equilibrium exist and under which the exercise boundaries...

Persistent link: https://www.econbiz.de/10012502965

A Class of Solvable Stopping Games

Luis H. R. Alvarez E. - Turun Kauppakorkeakoulu, Turun Yliopisto - 2006

Persistent link: https://www.econbiz.de/10005537237

Optimal stopping of strong Markov processes

Christensen, Sören; Salminen, Paavo; Ta, Bao Quoc - In: Stochastic Processes and their Applications 123 (2013) 3, pp. 1138-1159

representation of the β-excessive functions as expected suprema. A variety of examples is given. …

Persistent link: https://www.econbiz.de/10011064929

Properties of game options

Ekström, Erik - In: Computational Statistics 63 (2006) 2, pp. 221-238

, can exercise the option at any time. We characterize the value of a perpetual game option in terms of excessive functions …, and we use the connection between excessive functions and concave functions to explicitly determine the value in some …

Persistent link: https://www.econbiz.de/10010847849

Properties of game options

Ekström, Erik - In: Mathematical Methods of Operations Research 63 (2006) 2, pp. 221-238

Persistent link: https://www.econbiz.de/10010999860