Geodesic
Bounds for expected payoff on two stocks
Mathematica Applicanda, Tome 48 (2020) no. 1, pp. 49-57.

Voir la notice de l'article provenant de la source Annales Societatis Mathematicae Polonae Series

Under certain conditions, we establish explicit upper bounds for an investor's expected payoff on two stocks. The proof of these bounds is based on a certain optimal stopping problem and a pointwise estimate for solutions of a second-order elliptic equation.
DOI : 10.14708/ma.v48i1.6511
Classification : 60G40, 60Gxx
Mots-clés : optimal stopping problem, stock price processes 
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Cloud Makasu. Bounds for expected payoff on two stocks. Mathematica Applicanda, Tome 48 (2020) no. 1, pp.  49-57. doi : 10.14708/ma.v48i1.6511. http://geodesic.mathdoc.fr/articles/10.14708/ma.v48i1.6511/

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