Double continuation regions for American and Swing options with negative discount rate in Lévy models

Palmowski, Zbigniew; Tumilewicz, Joanna Beata; De Donno, Marzia

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Double continuation regions for American and Swing options with negative discount rate in Lévy models

Description

Title: Double continuation regions for American and Swing options with negative discount rate in Lévy models
Journal title: Mathematical Finance
Creator: Palmowski, Zbigniew ; Tumilewicz, Joanna Beata ; De Donno, Marzia
Pages: s. 196-227
Date issued: 2020
Type: Tekst
Identifier: ISSN 0960-1627 ; https://doi.org/10.1111/mafi.12218
Language: eng
Has version: https://doi.org/10.1111/mafi.12218
License: CC BY
Detailed object type: art
Object type: Artykuł
Location: Vol. 30, nr 1 (2020)

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