A new stopping time and American option model: a solution to the free-boundary problem
AbstractWe present a new model of stopping times and American options. In so doing, we solve the free-boundary problem.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 19318.
Date of creation: 14 Dec 2009
Date of revision:
stopping time; option; free-boundary; stochastic;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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- Jaksa Cvitanic & Fernando Zapatero, 2004. "Introduction to the Economics and Mathematics of Financial Markets," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262532654, January.
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