The Bellman equation for control of the running max of a diffusion and applications to look-back options
Work
Year: 1993
Type: article
Source: Applicable Analysis
Author E. N. Barron
Institution Loyola University Chicago
Cites: 17
Cited by: 17
Related to: 10
FWCI: 1.124
Citation percentile (by year/subfield): 81.4
Subfield: Finance
Domain: Social Sciences
Open Access status: closed