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- W1982600291 abstract "In this paper, we discuss a probabilistic approach to construction of a solution of a free boundary problem for parabolic and integro-differential equations. This problem admits an interpretation as an optimization problem for a stochastic process with diffusion and jumps satisfying a stochastic differential equation. The results are applied to calculation of American option prices in the Black–Scholes and Merton models. Bibliography: 22 titles." @default.
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- W1982600291 date "2011-06-22" @default.
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- W1982600291 title "Probabilistic approach to free boundary problems and pricing of American options" @default.
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- W1982600291 doi "https://doi.org/10.1007/s10958-011-0406-7" @default.
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