Pricing Multidimensional American Options
نویسندگان
چکیده
A new explicit form is provided for the solution of optimal stopping problems involving a multidimensional geometric Brownian motion. free-boundary value approach adopted and function obtained via fundamental methods. There are many applications valuation perpetual options American style, which interest finance managerial decisions.
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ژورنال
عنوان ژورنال: International Journal of Financial Studies
سال: 2023
ISSN: ['2227-7072']
DOI: https://doi.org/10.3390/ijfs11010051