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20042024
most citedOn the Optimal Stopping of a One-dimensional Diffusion

38 citations · 119 across the 10 of their papers we have counts for

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math.PR2017

Variational formulation of American option prices in the Heston Model

Damien Lamberton, Giulia Terenzi

We give an analytical characterization of the price function of an American option in Heston-type models. Our approach is based on variational inequalities and extends recent resul…