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Free boundary and optimal stopping problems for American Asian options

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Author Info
Andrea Pascucci ()

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File URL: http://hdl.handle.net/10.1007/s00780-007-0051-7
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 12 (2008)
Issue (Month): 1 (January)
Pages: 21-41
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Handle: RePEc:spr:finsto:v:12:y:2008:i:1:p:21-41

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Web page: http://www.springerlink.com/content/101164/

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Related research
Keywords: American option Asian option Free boundary problem Optimal stopping 35K65 C02

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Pascucci, Andrea & Foschi, Paolo, 2006. "Path dependent volatility," MPRA Paper 973, University Library of Munich, Germany. [Downloadable!]
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  2. Min Dai & Yue Kuen Kwok, 2006. "Characterization Of Optimal Stopping Regions Of American Asian And Lookback Options," Mathematical Finance, Blackwell Publishing, vol. 16(1), pages 63-82. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Paolo Foschi & Andrea Pascucci, 2008. "Path dependent volatility," Decisions in Economics and Finance, Springer, vol. 31(1), pages 13-32, May. [Downloadable!] (restricted)
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This page was last updated on 2008-11-13.

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