Roko, Ilir; Ciurlia, Pierangelo - Society for Computational Economics - SCE - 2005
, along with the initial premium, of an optimal stopping boundary since the option holder has the right to stop paying the …, we formulate the pricing problem as a free boundary value problem and using the integral representation method we obtain … integral expressions for both the initial premium and the optimal stopping boundary. Second, we use the variational inequality …