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THE BRITISH ASSET-OR-NOTHING PUT OPTION - MaRDI portal

THE BRITISH ASSET-OR-NOTHING PUT OPTION (Q5281721)

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scientific article; zbMATH DE number 6752340
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English
THE BRITISH ASSET-OR-NOTHING PUT OPTION
scientific article; zbMATH DE number 6752340

    Statements

    title
    THE BRITISH ASSET-OR-NOTHING PUT OPTION (English)
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    author
    Min Gao
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    publication date
    26 July 2017
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    zbMATH Keywords
    British asset-or-nothing put option
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    American asset-or-nothing put option
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    arbitrage-free price
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    rational exercise boundary
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    optimal stopping
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    geometric Brownian motion
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    parabolic free boundary problem
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G40
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    60J65
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    zbMATH DE Number
    6752340
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    OpenAlex ID
    W2618287293
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