Exercise boundary of American-style Asian option

DOI10.1016/J.AMC.2008.06.006zbMath1154.91490OpenAlexW2077703579MaRDI QIDQ2378896

Ying-shan Chen, Fa-huai Yi

Publication date: 14 January 2009

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2008.06.006

zbMATH Keywords

variational inequalityoption pricingfree boundaryAmerican-style Asian option

Mathematics Subject Classification ID

Cites Work

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• On the theory of option pricing
• On the pricing of American options
• Compact sets in the space \(L^ p(0,T;B)\)
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• On optimal stopping and free boundary problems
• The regularity of free boundaries in higher dimensions
• Convexity of the optimal stopping boundary for the American put option
• On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients
• On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
• Regularity of a free boundary in parabolic potential theory
• Analytic semigroups and optimal regularity in parabolic problems

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