A New Stopping Time Model: A Solution to a Free-Boundary Problem

We present a new model of stopping times and American options. In so doing, we solve a free-boundary problem.

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Bibliographische Detailangaben
Veröffentlicht in:	Journal of optimization theory and applications 2012, Vol.152 (1), p.265-270
1. Verfasser:	Alghalith, Moawia
Format:	Artikel
Sprache:	eng
Schlagworte:	Applications of Mathematics Brownian motion Calculus of Variations and Optimal Control Optimization Engineering International Management science Mathematics Mathematics and Statistics Numerical analysis Operations Research/Decision Theory Optimization Partial differential equations Studies Theory of Computation Time Viscosity
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Beschreibung
Zusammenfassung:	We present a new model of stopping times and American options. In so doing, we solve a free-boundary problem.
ISSN:	0022-3239 1573-2878
DOI:	10.1007/s10957-011-9887-2