Pascucci, Andrea
(2007)
Free boundary and optimal stopping problems for American Asian options.
[Preprint]
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Abstract
We give a complete and self-contained proof of the existence of a
strong solution to the free boundary and optimal stopping
problems for pricing American path dependent options. The
framework is sufficiently general to include geometric Asian
options with non-constant volatility and recent path-dependent
volatility models.
Abstract
We give a complete and self-contained proof of the existence of a
strong solution to the free boundary and optimal stopping
problems for pricing American path dependent options. The
framework is sufficiently general to include geometric Asian
options with non-constant volatility and recent path-dependent
volatility models.
Document type
Preprint
Creators
Keywords
American option, Asian option, free boundary problem, optimal stopping problem
Subjects
DOI
Deposit date
28 Mar 2007
Last modified
16 May 2011 12:05
URI
Other metadata
Document type
Preprint
Creators
Keywords
American option, Asian option, free boundary problem, optimal stopping problem
Subjects
DOI
Deposit date
28 Mar 2007
Last modified
16 May 2011 12:05
URI
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