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ON THE AMERICAN OPTION PROBLEM
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Arbitrage pricing
Option pricing theory
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Optionspreistheorie
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Stochastic process
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Stochastischer Prozess
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optimal stopping
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free-boundary problem
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geometric Brownian motion
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local time-space calculus
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arbitrage-free price
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nonlinear integral equation
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smooth fit
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American Asian option
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Peskir, Goran
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Glover, Kristoffer
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Finance and stochastics
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ECONIS (ZBW)
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The Russian option : finite horizon
Peskir, Goran
- In:
Finance and stochastics
9
(
2005
)
2
,
pp. 251-267
Persistent link: https://www.econbiz.de/10002747193
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The British Russian option
Glover, Kristoffer
;
Peskir, Goran
;
Samee, Farman
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2010
Persistent link: https://www.econbiz.de/10008662195
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The British Asian option
Glover, Kristoffer
;
Peskir, Goran
;
Samee, Farman
-
2009
Persistent link: https://www.econbiz.de/10003857528
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