Perpetual American options in diffusion-type models with running maxima and drawdowns
Volume
126
Pagination
2038 - 2061
DOI
10.1016/j.spa.2016.01.003
Journal
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
Issue
ISSN
0304-4149
Metadata
Show full item recordAuthors
Gapeev, PV; Rodosthenous, NCollections
- Applied Mathematics [145]