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pro vyhledávání: '"Wai Chau Ki"'
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 65, Pp 294-308x (2019)
We extend the viscosity solution characterization proved in [5] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting: the price satisfies a semilinear reaction/diffusion type equation. Based on t
Externí odkaz:
https://doaj.org/article/92a7d34b164e4b19ad35df9d31a81776
