Free boundary and optimal stopping problems for American Asian options
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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Volume (Year): 12 (2008)
Issue (Month): 1 (January)
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- Pascucci, Andrea & Foschi, Paolo, 2006.
"Path dependent volatility,"
973, University Library of Munich, Germany.
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