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.
|Date of creation:||07 Sep 2007|
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Web page: https://mpra.ub.uni-muenchen.de
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"Path dependent volatility,"
973, University Library of Munich, Germany.
- 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.
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