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

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.

• Item Type: MPRA Paper
• Institution: University of Bologna
• Language: English
• Keywords: optimal stopping; free boundary; Asian option; American option
• Subjects: C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods; G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing; Futures Pricing