Free boundary and optimal stopping problems for American Asian options
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- Andrea Pascucci, 2008. "Free boundary and optimal stopping problems for American Asian options," Finance and Stochastics, Springer, vol. 12(1), pages 21-41, January.
References listed on IDEAS
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"Path dependent volatility,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 31(1), pages 13-32, May.
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- 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, January.
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Cited by:
- Zaevski, Tsvetelin S., 2019. "A new form of the early exercise premium for American type derivatives," Chaos, Solitons & Fractals, Elsevier, vol. 123(C), pages 338-340.
- Daniel Sevcovic & Martin Takac, 2011. "Sensitivity analysis of the early exercise boundary for American style of Asian options," Papers 1101.3071, arXiv.org.
- Cristina Costantini & Marco Papi & Fernanda D’Ippoliti, 2012. "Singular risk-neutral valuation equations," Finance and Stochastics, Springer, vol. 16(2), pages 249-274, April.
- Frank Wusterhausen, 2015. "An Analysis of Path-Dependent Options," Journal of Optimization Theory and Applications, Springer, vol. 167(3), pages 874-887, December.
- Foschi, Paolo & Pascucci, Andrea, 2009. "Calibration of a path-dependent volatility model: Empirical tests," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2219-2235, April.
- Mabel C. Chou & Mahmut Parlar & Yun Zhou, 2017. "Optimal Timing to Initiate Medical Treatment for a Disease Evolving as a Semi-Markov Process," Journal of Optimization Theory and Applications, Springer, vol. 175(1), pages 194-217, October.
- Calvo-Garrido, Maria del Carmen & Pascucci, Andrea & Vázquez Cendón, Carlos, 2012. "Mathematical analysis and numerical methods for pricing pension plans allowing early retirement," MPRA Paper 36494, University Library of Munich, Germany.
- Min Dai & Zuo Quan Xu, 2009. "Optimal Redeeming Strategy of Stock Loans," Papers 0906.0702, arXiv.org.
- Paolo Foschi & Andrea Pascucci, 2008.
"Path dependent volatility,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 31(1), pages 13-32, May.
- Pascucci, Andrea & Foschi, Paolo, 2006. "Path dependent volatility," MPRA Paper 973, University Library of Munich, Germany.
- Francesco Rotondi, 2019. "American Options on High Dividend Securities: A Numerical Investigation," Risks, MDPI, vol. 7(2), pages 1-20, May.
- Tomas Bokes & Daniel Sevcovic, 2009. "Early exercise boundary for American type of floating strike Asian option and its numerical approximation," Papers 0912.1321, arXiv.org.
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More about this item
Keywords
optimal stopping; free boundary; Asian option; American option;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-SEA-2007-09-16 (South East Asia)
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