Name
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 sufficiently general to include geometric Asian options
with nonconstant volatility and recent path-dependent volatility models. |
Year | DOI | Venue |
|---|---|---|
2008 | 10.1007/s00780-007-0051-7 | Finance and Stochastics |
Keywords | Field | DocType |
optimal stopping,futures pricing,asian option,optimal stopping problem | Economics,Mathematical optimization,Mathematical economics,Financial economics,Optimal stopping,Futures contract,Free boundary problem,Asian option,Volatility (finance) | Journal |
Volume | Issue | ISSN |
12 | 1 | 1432-1122 |
Citations | PageRank | References |
6 | 1.06 | 5 |
Authors | ||
1 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Andrea Pascucci | 1 | 34 | 9.05 |