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.
| Item Type: | MPRA Paper |
|---|---|
| Institution: | University of Bologna |
| Original Title: | Free boundary and optimal stopping problems for American Asian options |
| 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 |
| Item ID: | 4766 |
| Depositing User: | Andrea Pascucci |
| Date Deposited: | 07 Sep 2007 |
| Last Modified: | 26 Sep 2019 14:56 |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/4766 |
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