Search Results - subject:"linear diffusions"

Alvarez, Luis H. R. - In: Computational Statistics 53 (2001) 1, pp. 89-99

of linear diffusions whenever the underlying payoff is not differentiable and the smooth fit principle does not …

Persistent link: https://www.econbiz.de/10010847652

Alvarez, Luis H. R. - In: Mathematical Methods of Operations Research 53 (2001) 1, pp. 89-99

of linear diffusions whenever the underlying payoff is not differentiable and the smooth fit principle does not …

Persistent link: https://www.econbiz.de/10010950073

Alvarez, Luis H. R. - In: Mathematical Methods of Operations Research 54 (2001) 2, pp. 315-337

conditions for optimal stopping by applying the classical theory of linear diffusions and ordinary non-linear programming …

Persistent link: https://www.econbiz.de/10010950387