Optimal Hedging of a Perpetual American Put with a Single Trade (2021)
Attributed to:
A probabilistic toolkit to study regularity of free boundaries in stochastic optimal control
funded by
EPSRC
Abstract
No abstract provided
Bibliographic Information
Digital Object Identifier: http://dx.doi.org/10.1137/20m1325265
Publication URI: http://dx.doi.org/10.1137/20m1325265
Type: Journal Article/Review
Parent Publication: SIAM Journal on Financial Mathematics
Issue: 2