Probabilistic approach to free boundary problems and pricing of American options

DOI10.1007/s10958-011-0406-7zbMath1290.91156OpenAlexW1982600291MaRDI QIDQ2016260

M. M. Romadanova, Yana I. Belopolskaya

Publication date: 20 June 2014

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-011-0406-7

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• American options: the EPV pricing model
• On the theory of option pricing
• On the pricing of American options
• Mathematical models of financial derivatives
• On optimal stopping and free boundary problems
• Controlled Markov processes and viscosity solutions
• American Options in Regime-Switching Models
• Perpetual American Options Under Lévy Processes
• PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
• Financial Modelling with Jump Processes
• Randomization and the American Put
• Option pricing when underlying stock returns are discontinuous

This page was built for publication: Probabilistic approach to free boundary problems and pricing of American options