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
Published in
Journal of Applied Probability
0021-9002 (ISSN)
Vol. 47 Issue 2 p. 586-593Categorizing
Subject Categories (SSIF 2011)
Other Mathematics