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The British Asian Option - MaRDI portal

The British Asian Option (Q4931851)

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scientific article; zbMATH DE number 5794015
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English
The British Asian Option
scientific article; zbMATH DE number 5794015

    Statements

    title
    The British Asian Option (English)
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    author
    Kristoffer J. Glover
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    Goran Peskir
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    Farman Samee
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    publication date
    1 October 2010
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    zbMATH Keywords
    American Asian option
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    arbitrage-free price
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    arithmetic/geometric average
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    British Asian option
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    European Asian option
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    fixed/floating strike
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    flexible Asian options
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    geometric Brownian motion
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    liquid/illiquid market
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    local time-space calculus
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    nonlinear integral equation
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    optimal stopping
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    parabolic free-boundary problem
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    rational exercise boundary
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    Shiryaev process
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G40
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    60H15
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    60H30
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    60J60
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    45G10
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    zbMATH DE Number
    5794015
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    OpenAlex ID
    W2134742450
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