A comparison principle for an American option on several assets: index and spread options.

Laurence, Peter, and Stredulinsky, Edward. "A comparison principle for an American option on several assets: index and spread options.." Electronic Journal of Differential Equations (EJDE) [electronic only] 2003 (2003): Paper No. 74, 26 p., electronic only-Paper No. 74, 26 p., electronic only. <http://eudml.org/doc/123482>.

@article{Laurence2003,
author = {Laurence, Peter, Stredulinsky, Edward},
journal = {Electronic Journal of Differential Equations (EJDE) [electronic only]},
keywords = {symmetrization; optimal stopping; rearrangements},
language = {eng},
pages = {Paper No. 74, 26 p., electronic only-Paper No. 74, 26 p., electronic only},
publisher = {Southwest Texas State University, Department of Mathematics, San Marcos, TX; North Texas State University, Department of Mathematics, Denton},
title = {A comparison principle for an American option on several assets: index and spread options.},
url = {http://eudml.org/doc/123482},
volume = {2003},
year = {2003},
}

TY - JOUR
AU - Laurence, Peter
AU - Stredulinsky, Edward
TI - A comparison principle for an American option on several assets: index and spread options.
JO - Electronic Journal of Differential Equations (EJDE) [electronic only]
PY - 2003
PB - Southwest Texas State University, Department of Mathematics, San Marcos, TX; North Texas State University, Department of Mathematics, Denton
VL - 2003
SP - Paper No. 74, 26 p., electronic only
EP - Paper No. 74, 26 p., electronic only
LA - eng
KW - symmetrization; optimal stopping; rearrangements
UR - http://eudml.org/doc/123482
ER -