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On a constant associated with American options. (English. Ukrainian original) Zbl 1232.91673

Theory Probab. Math. Stat. 82, 171-175 (2011); translation from Teor. Jmovirn. Mat. Stat. No. 82, 163-167.
Summary: We discuss a constant which arises in several problems related to optimal exercise of American derivative securities.

MSC:

91G20 Derivative securities (option pricing, hedging, etc.)
60G40 Stopping times; optimal stopping problems; gambling theory
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References:

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