Polynomial bounds for solutions to boundary value and obstacle problems with applications to financial derivative pricing

Authors

  • L. Bhim The University of Sydney

Keywords:

Obstacle problem, optimal stopping, dual approach, free boundary problem, polynomial bounds, American option price, regime-switching

Abstract

DOI: 10.1017/S0004972717000971

Published

2017-12-28

Issue

Vol. 97 No. 1 (2018)

Section

Abstracts of PhD Theses
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