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ON THE AMERICAN OPTION PROBLEM
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Prognoseverfahren
Option pricing theory
9
Optionspreistheorie
9
Theorie
8
Theory
8
Stochastic process
7
Stochastischer Prozess
7
Search theory
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Suchtheorie
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Option trading
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Optionsgeschäft
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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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Mean-variance analysis
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Portfolio selection
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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
1
Analysis
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Asia
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Asien
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Bernoulli equation
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British Asian option
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Peskir, Goran
3
De Angelis, Tiziano
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Du Toit, Jacques
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Glover, Kris
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Hulley, Hardy
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Applied mathematical finance
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Mathematical control theory and finance
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ECONIS (ZBW)
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Three-dimensional Brownian motion and the golden ratio rule
Glover, Kris
;
Hulley, Hardy
;
Peskir, Goran
-
2011
Persistent link: https://www.econbiz.de/10009564616
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2
Predicting the time of the ultimate maximum for Brownian motion with drift
Du Toit, Jacques
;
Peskir, Goran
- In:
Mathematical control theory and finance
,
(pp. 95-112)
.
2008
Persistent link: https://www.econbiz.de/10003755583
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Optimal prediction of resistance and support levels
De Angelis, Tiziano
;
Peskir, Goran
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 465-483
Persistent link: https://www.econbiz.de/10011704271
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