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Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions.

Erhan BayraktarHao Xing
Published in: Math. Methods Oper. Res. (2009)
Keyphrases
  • brownian motion
  • optimal stopping
  • differential equations
  • stochastic process
  • optimal control
  • heavy traffic
  • poisson process
  • image processing
  • markov chain
  • vector valued