Free boundary and optimal stopping problems for American Asian options

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.

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Year of publication:	2007-09-07
Authors:	Andrea, Pascucci
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	optimal stopping \| free boundary \| Asian option \| American option

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C02 - Mathematical Methods ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005837408