Optimal hedging of a perpetual American put with a single trade (2020)

First Author: Cai C

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/10.48550/arxiv.2003.06249

Publication URI: https://arxiv.org/abs/2003.06249

Type: Other