IDEAS home Printed from https://ideas.repec.org/a/spr/finsto/v12y2008i1p21-41.html
   My bibliography  Save this article

Free boundary and optimal stopping problems for American Asian options

Author

Listed:
  • Andrea Pascucci

    ()

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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Andrea Pascucci, 2008. "Free boundary and optimal stopping problems for American Asian options," Finance and Stochastics, Springer, vol. 12(1), pages 21-41, January.
  • Handle: RePEc:spr:finsto:v:12:y:2008:i:1:p:21-41
    DOI: 10.1007/s00780-007-0051-7
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s00780-007-0051-7
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 27-48.
    2. Hatem Ben-Ameur & Michèle Breton & Pierre L'Ecuyer, 2002. "A Dynamic Programming Procedure for Pricing American-Style Asian Options," Management Science, INFORMS, vol. 48(5), pages 625-643, May.
    3. Jérôme Barraquand & Thierry Pudet, 1996. "Pricing Of American Path-Dependent Contingent Claims," Mathematical Finance, Wiley Blackwell, vol. 6(1), pages 17-51.
    4. Asbjørn T. Hansen & Peter Løchte Jørgensen, 2000. "Analytical Valuation of American-Style Asian Options," Management Science, INFORMS, vol. 46(8), pages 1116-1136, August.
    5. Paolo Foschi & Andrea Pascucci, 2008. "Path dependent volatility," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 31(1), pages 13-32, May.
    6. Min Dai & Yue Kuen Kwok, 2006. "Characterization Of Optimal Stopping Regions Of American Asian And Lookback Options," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 63-82.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Daniel Sevcovic & Martin Takac, 2011. "Sensitivity analysis of the early exercise boundary for American style of Asian options," Papers 1101.3071, arXiv.org.
    2. Foschi, Paolo & Pascucci, Andrea, 2009. "Calibration of a path-dependent volatility model: Empirical tests," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2219-2235, April.
    3. Tomas Bokes & Daniel Sevcovic, 2009. "Early exercise boundary for American type of floating strike Asian option and its numerical approximation," Papers 0912.1321, arXiv.org.
    4. Paolo Foschi & Andrea Pascucci, 2008. "Path dependent volatility," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 31(1), pages 13-32, May.
    5. Cristina Costantini & Marco Papi & Fernanda D’Ippoliti, 2012. "Singular risk-neutral valuation equations," Finance and Stochastics, Springer, vol. 16(2), pages 249-274, April.
    6. Calvo-Garrido, Maria del Carmen & Pascucci, Andrea & Vázquez Cendón, Carlos, 2012. "Mathematical analysis and numerical methods for pricing pension plans allowing early retirement," MPRA Paper 36494, University Library of Munich, Germany.
    7. Min Dai & Zuo Quan Xu, 2009. "Optimal Redeeming Strategy of Stock Loans," Papers 0906.0702, arXiv.org.

    More about this item

    Keywords

    American option; Asian option; Free boundary problem; Optimal stopping; 35K65; C02;

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:12:y:2008:i:1:p:21-41. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.