Moawia, Alghalith (2009): A new stopping time and American option model: a solution to the free-boundary problem.
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We present a new model of stopping times and American options. In so doing, we solve the free-boundary problem.
|Item Type:||MPRA Paper|
|Original Title:||A new stopping time and American option model: a solution to the free-boundary problem|
|Keywords:||stopping time, option, free-boundary, stochastic|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions
G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
|Depositing User:||Moawia Alghalith|
|Date Deposited:||16. Dec 2009 05:34|
|Last Modified:||12. Feb 2013 01:22|
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 Cvitanic, J. and Zapatero, F. (2004). Introduction to the economics and mathematics of financial markets, MIT Press, Cambridge, MA.
 Focardi, F. and F. Fabozzi (2004). “ The Mathematics of Financial Modeling and Investment Management. ” Wiley E-Series.
 Musiela, M. and T. Zariphopoulou (2007). “Investment and valuation under backward and forward dynamic exponential utilities in a stochastic factor model.” in Advances inMathematical Finance, Birkhauser, Boston, pp 303-334.
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