A note on the nonlinear Volterra integral equation for the early exercise boundary

DOI10.1515/GMJ-2020-2057zbMath1473.91024OpenAlexW3011494547MaRDI QIDQ2021449

Malkhaz Shashiashvili, Besarion Dochviri, Giorgi Lominashvili

Publication date: 27 April 2021

Published in: Georgian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/gmj-2020-2057

zbMATH Keywords

stock priceBlack-Scholes modelnonlinear Volterra integral equationlocal volatility function

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Volterra integral equations (45D05)

Cites Work

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• The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate
• The pricing of the American option
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• ON THE AMERICAN OPTION PROBLEM

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