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Free boundary and optimal stopping problems for American Asian options

Andrea, Pascucci (2007): Free boundary and optimal stopping problems for American Asian options. Forthcoming in: Finance and Stochastics

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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 su±ciently general to include geometric Asian options with non-constant volatility and recent path-dependent volatility models.

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