Optimal liquidation of a call spread
Journal article, 2010
Optimal stopping
call spread
Bachelier model
Author
E. Ekstrom
CARL LINDBERG
Chalmers, Mathematical Sciences, Mathematics
University of Gothenburg
J. Tysk
H. Wanntorp
Journal of Applied Probability
0021-9002 (ISSN)
Vol. 47 2 586-593Subject Categories
Other Mathematics