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.

A. Pascucci (2007). Free boundary and optimal stopping problems for American Asian options. FINANCE AND STOCHASTICS, XII (Issue 1), 21-41.

Free boundary and optimal stopping problems for American Asian options

PASCUCCI, ANDREA
2007

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.
2007
A. Pascucci (2007). Free boundary and optimal stopping problems for American Asian options. FINANCE AND STOCHASTICS, XII (Issue 1), 21-41.
A. Pascucci
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/48426
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