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A new stopping time and American option model: a solution to the free-boundary problem

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  • Moawia, Alghalith

Abstract

We present a new model of stopping times and American options. In so doing, we solve the free-boundary problem.

Suggested Citation

  • Moawia, Alghalith, 2009. "A new stopping time and American option model: a solution to the free-boundary problem," MPRA Paper 19318, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:19318
    as

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    File URL: https://mpra.ub.uni-muenchen.de/21952/1/MPRA_paper_21952.pdf
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    References listed on IDEAS

    as
    1. Jaksa Cvitanic & Fernando Zapatero, 2004. "Introduction to the Economics and Mathematics of Financial Markets," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262532654, April.
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    More about this item

    Keywords

    stopping time; option; free-boundary; stochastic;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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