A new stopping time and American option model: a solution to the free-boundary problem

Alghalith, Moawia (2009): A new stopping time and American option model: a solution to the free-boundary problem.

Abstract

We present a new model of stopping times and American options. In so doing, we solve the free-boundary problem.

• Item Type: MPRA Paper
• Language: English
• 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

References

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