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On The American Option Problem

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  • Goran Peskir

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Suggested Citation

  • Goran Peskir, 2005. "On The American Option Problem," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 169-181.
  • Handle: RePEc:bla:mathfi:v:15:y:2005:i:1:p:169-181
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    Cited by:

    1. Duistermaat, J.J. & Kyprianou, A.E. & van Schaik, K., 2005. "Finite expiry Russian options," Stochastic Processes and their Applications, Elsevier, vol. 115(4), pages 609-638, April.
    2. Damir Filipovic & Yerkin Kitapbayev, 2016. "On the American swaption in the linear-rational framework," Papers 1607.02067, arXiv.org, revised Feb 2018.
    3. Gerald H. L. Cheang & Carl Chiarella & Andrew Ziogas, 2013. "The representation of American options prices under stochastic volatility and jump-diffusion dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 13(2), pages 241-253, January.
    4. Yerkin Kitapbayev, 2015. "The British Lookback Option with Fixed Strike," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(3), pages 238-260, July.
    5. Tiziano De Angelis & Yerkin Kitapbayev, 2014. "On the optimal exercise boundaries of swing put options," Papers 1407.6860, arXiv.org, revised Jan 2017.
    6. repec:eee:spapps:v:127:y:2017:i:10:p:3447-3464 is not listed on IDEAS
    7. Tiziano De Angelis & Gabriele Stabile, 2017. "On the free boundary of an annuity purchase," Papers 1707.09494, arXiv.org.
    8. Erik Ekstrom & Juozas Vaicenavicius, 2015. "Optimal liquidation of an asset under drift uncertainty," Papers 1509.00686, arXiv.org.

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