FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3038104323> ?p ?o ?g. }

• W3038104323 endingPage "186" @default.
• W3038104323 startingPage "157" @default.
• W3038104323 abstract "We consider a new family of derivatives whose payoffs become strictly positive when the price of their underlying asset falls relative to its historical maximum. We derive the solution to the discretionary stopping problems arising in the context of pricing their perpetual American versions by means of an explicit construction of their value functions. In particular, we fully characterise the free-boundary functions that provide the optimal stopping times of these genuinely two-dimensional problems as the unique solutions to highly nonlinear first order ODEs that have the characteristics of a separatrix. The asymptotic growth of these free-boundary functions can take qualitatively different forms depending on parameter values, which is an interesting new feature." @default.
• W3038104323 created "2020-07-02" @default.
• W3038104323 creator A5065206582 @default.
• W3038104323 creator A5068367692 @default.
• W3038104323 date "2016-12-06" @default.
• W3038104323 modified "2023-09-23" @default.
• W3038104323 title "Watermark options" @default.
• W3038104323 cites W1507815144 @default.
• W3038104323 cites W1982381011 @default.
• W3038104323 cites W1994438934 @default.
• W3038104323 cites W1995522593 @default.
• W3038104323 cites W1997570325 @default.
• W3038104323 cites W2008207386 @default.
• W3038104323 cites W2032028739 @default.
• W3038104323 cites W2039699785 @default.
• W3038104323 cites W2052249283 @default.
• W3038104323 cites W2060564694 @default.
• W3038104323 cites W2127836939 @default.
• W3038104323 cites W2135012046 @default.
• W3038104323 cites W2554588926 @default.
• W3038104323 cites W3104328677 @default.
• W3038104323 cites W3105471026 @default.
• W3038104323 cites W3123504662 @default.
• W3038104323 cites W3125092866 @default.
• W3038104323 cites W3189863870 @default.
• W3038104323 cites W4213126290 @default.
• W3038104323 cites W4234985359 @default.
• W3038104323 cites W4240791291 @default.
• W3038104323 cites W4241182437 @default.
• W3038104323 cites W4241979076 @default.
• W3038104323 doi "https://doi.org/10.1007/s00780-016-0319-x" @default.
• W3038104323 hasPublicationYear "2016" @default.
• W3038104323 type Work @default.
• W3038104323 sameAs 3038104323 @default.
• W3038104323 citedByCount "14" @default.
• W3038104323 countsByYear W30381043232019 @default.
• W3038104323 countsByYear W30381043232020 @default.
• W3038104323 countsByYear W30381043232021 @default.
• W3038104323 countsByYear W30381043232022 @default.
• W3038104323 crossrefType "journal-article" @default.
• W3038104323 hasAuthorship W3038104323A5065206582 @default.
• W3038104323 hasAuthorship W3038104323A5068367692 @default.
• W3038104323 hasBestOaLocation W30381043232 @default.
• W3038104323 hasConcept C10138342 @default.
• W3038104323 hasConcept C105795698 @default.
• W3038104323 hasConcept C106159729 @default.
• W3038104323 hasConcept C121332964 @default.
• W3038104323 hasConcept C126255220 @default.
• W3038104323 hasConcept C134306372 @default.
• W3038104323 hasConcept C144237770 @default.
• W3038104323 hasConcept C151730666 @default.
• W3038104323 hasConcept C154416045 @default.
• W3038104323 hasConcept C158622935 @default.
• W3038104323 hasConcept C162324750 @default.
• W3038104323 hasConcept C182306322 @default.
• W3038104323 hasConcept C2776291640 @default.
• W3038104323 hasConcept C2779343474 @default.
• W3038104323 hasConcept C28826006 @default.
• W3038104323 hasConcept C33923547 @default.
• W3038104323 hasConcept C34862557 @default.
• W3038104323 hasConcept C38652104 @default.
• W3038104323 hasConcept C41008148 @default.
• W3038104323 hasConcept C62354387 @default.
• W3038104323 hasConcept C62520636 @default.
• W3038104323 hasConcept C76178495 @default.
• W3038104323 hasConcept C86803240 @default.
• W3038104323 hasConcept C93373587 @default.
• W3038104323 hasConcept C99414536 @default.
• W3038104323 hasConcept C99888217 @default.
• W3038104323 hasConceptScore W3038104323C10138342 @default.
• W3038104323 hasConceptScore W3038104323C105795698 @default.
• W3038104323 hasConceptScore W3038104323C106159729 @default.
• W3038104323 hasConceptScore W3038104323C121332964 @default.
• W3038104323 hasConceptScore W3038104323C126255220 @default.
• W3038104323 hasConceptScore W3038104323C134306372 @default.
• W3038104323 hasConceptScore W3038104323C144237770 @default.
• W3038104323 hasConceptScore W3038104323C151730666 @default.
• W3038104323 hasConceptScore W3038104323C154416045 @default.
• W3038104323 hasConceptScore W3038104323C158622935 @default.
• W3038104323 hasConceptScore W3038104323C162324750 @default.
• W3038104323 hasConceptScore W3038104323C182306322 @default.
• W3038104323 hasConceptScore W3038104323C2776291640 @default.
• W3038104323 hasConceptScore W3038104323C2779343474 @default.
• W3038104323 hasConceptScore W3038104323C28826006 @default.
• W3038104323 hasConceptScore W3038104323C33923547 @default.
• W3038104323 hasConceptScore W3038104323C34862557 @default.
• W3038104323 hasConceptScore W3038104323C38652104 @default.
• W3038104323 hasConceptScore W3038104323C41008148 @default.
• W3038104323 hasConceptScore W3038104323C62354387 @default.
• W3038104323 hasConceptScore W3038104323C62520636 @default.
• W3038104323 hasConceptScore W3038104323C76178495 @default.
• W3038104323 hasConceptScore W3038104323C86803240 @default.
• W3038104323 hasConceptScore W3038104323C93373587 @default.
• W3038104323 hasConceptScore W3038104323C99414536 @default.
• W3038104323 hasConceptScore W3038104323C99888217 @default.
• W3038104323 hasIssue "1" @default.
• W3038104323 hasLocation W30381043231 @default.
• W3038104323 hasLocation W30381043232 @default.

• next