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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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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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File URL: http://mpra.ub.uni-muenchen.de/4766/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 4766.

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Date of creation: 07 Sep 2007
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Handle: RePEc:pra:mprapa:4766

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Keywords: optimal stopping free boundary Asian option American option

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Find related papers by JEL classification:
C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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  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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  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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