2   Artículos

 
en línea
Elettra Agliardi and Rossella Agliardi    
A new explicit form is provided for the solution of optimal stopping problems involving a multidimensional geometric Brownian motion. A free-boundary value approach is adopted and the value function is obtained via fundamental solution methods. There are... ver más
Revista: International Journal of Financial Studies    Formato: Electrónico

 
en línea
Edson Bastos e Santos,Nelson Ithiro Tanaka     Pág. 69 - 111
This article presents an alternative to modeling multidimensional options, where the payoffs depend on the paths of the trajectories of the underlying-asset prices. The proposed technique considers Lévy processes, a very ample class of stochastic process... ver más
Revista: Revista Brasileira de Finanças    Formato: Electrónico

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