American Options with Last Exit Times: A Free-Boundary Approach

arXiv:2211.13918 · math.PR, math.OC · Submitted 2022-11-25 · Read on arXiv

math.PR, math.OC

Submitted: 2022-11-25

Updated: 2026-10-25

Terminology

• Monotonicity — 1× in this paper · explained in 2 episodes

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