Analysis of pricing American options on the maximum (minimum) of two risk assets
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Publication:1599129
DOI10.4171/IFB/51zbMath0994.35117MaRDI QIDQ1599129
Publication date: 4 June 2002
Published in: Interfaces and Free Boundaries (Search for Journal in Brave)
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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Stock loan with automatic termination clause, cap and margin ⋮ Pricing variable annuity with surrender guarantee ⋮ CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
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