Free boundary and optimal stopping problems for American Asian options
AbstractWe 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 4766.
Date of creation: 07 Sep 2007
Date of revision:
optimal stopping; free boundary; Asian option; American option;
Other versions of this item:
- Andrea Pascucci, 2008. "Free boundary and optimal stopping problems for American Asian options," Finance and Stochastics, Springer, vol. 12(1), pages 21-41, January.
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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973, University Library of Munich, Germany.
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