Zobrazeno 1 - 6
of 6
pro vyhledávání: '"60G40, 91B28"'
Autor:
Hamadène, Saïd, Zhao, Xuzhe
In this paper we show existence and uniqueness of the solution in viscosity sense for a system of nonlinear $m$ variational integral-partial differential equations with interconnected obstacles whose coefficients $(f_i)_{i=1,\cdots, m}$ depend on $(u
Externí odkaz:
http://arxiv.org/abs/1408.2759
In the standard models for optimal multiple stopping problems it is assumed that between two exercises there is always a time period of deterministic length $\delta$, the so called refraction period. This prevents the optimal exercise times from bunc
Externí odkaz:
http://arxiv.org/abs/1205.1966
Autor:
Ekström, Erik, Tysk, Johan
Publikováno v:
Annals of Applied Probability 2009, Vol. 19, No. 4, 1369-1384
A bubble is characterized by the presence of an underlying asset whose discounted price process is a strict local martingale under the pricing measure. In such markets, many standard results from option pricing theory do not hold, and in this paper w
Externí odkaz:
http://arxiv.org/abs/0908.4468
Autor:
Hamad��ne, Sa��d, Zhao, Xuzhe
In this paper we show existence and uniqueness of the solution in viscosity sense for a system of nonlinear $m$ variational integral-partial differential equations with interconnected obstacles whose coefficients $(f_i)_{i=1,\cdots, m}$ depend on $(u
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::376a8598804339f3c0059857e5888e5a
In the standard models for optimal multiple stopping problems it is assumed that between two exercises there is always a time period of deterministic length δ, the so-called refraction period. This prevents the optimal exercise times from bunching u
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::356b78be7679782d9858cb6b8abcecf2
http://arxiv.org/pdf/1205.1966
http://arxiv.org/pdf/1205.1966
Autor:
Johan Tysk, Erik Ekström
Publikováno v:
Ann. Appl. Probab. 19, no. 4 (2009), 1369-1384
A bubble is characterized by the presence of an underlying asset whose discounted price process is a strict local martingale under the pricing measure. In such markets, many standard results from option pricing theory do not hold, and in this paper w
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::63e6813b6775abac291853b3db8d294b
https://doi.org/10.1214/08-aap579
https://doi.org/10.1214/08-aap579
