On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions

Published:2023-06-15 Issue:3 Volume:61 Page:1513-1531
ISSN:0363-0129
Container-title:SIAM Journal on Control and Optimization
language:en
Short-container-title:SIAM J. Control Optim.

Author:

Cai Cheng¹,De Angelis Tiziano²^ORCID,Palczewski Jan¹^ORCID

Affiliation:

1. School of Mathematics, University of Leeds, Woodhouse Lane, LS2 9JT Leeds, UK.

2. School of Management and Economics, University of Torino, Corso Unione Sovietica, 218 Bis, 10134, Torino, Italy; Collegio Carlo Alberto, Piazza Arbarello 8, 10122, Torino, Italy.

Funder

China Scholarship Council

EPSRC

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Control and Optimization

Reference44 articles.

1. Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions

2. The American put with finite‐time maturity and stochastic interest rate

3. The One-Dimensional Heat Equation

4. A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A change of variable formula with applications to multi-dimensional optimal stopping problems;Stochastic Processes and their Applications;2023-10

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP