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.
Free boundary and optimal stopping problems for American Asian options / A. Pascucci. - In: FINANCE AND STOCHASTICS. - ISSN 0949-2984. - ELETTRONICO. - XII (Issue 1):(2007), pp. 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.File in questo prodotto:
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