Structure of optimal stopping domains for American options with knock out domains
American options give us the possibility to exercise them at any moment of time up to maturity. An optimal stopping domain for American type options is a domain that, if the underlying price process enters we should exercise the option. A knock out option is a American barrier option of knock out ty...
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| Datum: | 2007 |
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| 1. Verfasser: | |
| Format: | Artikel |
| Sprache: | English |
| Veröffentlicht: |
Інститут математики НАН України
2007
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| Online Zugang: | http://dspace.nbuv.gov.ua/handle/123456789/4516 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | Structure of optimal stopping domains for American options with knock out domains / R. Lundgren // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 4. — С. 98–129. — Бібліогр.: 22 назв.— англ. |