An analysis of path-dependent options

DOI10.1007/s10957-013-0405-6zbMath1336.91081OpenAlexW2051591079MaRDI QIDQ261989

Frank Wusterhausen

Publication date: 29 March 2016

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-013-0405-6

zbMATH Keywords

semigroup methodspath-dependent optionsBlack-Scholeselliptic-hyperbolic partial differential equationnoncommuting sums of operators

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) Derivative securities (option pricing, hedging, etc.) (91G20) Dependence of solutions to PDEs on initial and/or boundary data and/or on parameters of PDEs (35B30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Free boundary and optimal stopping problems for American Asian options
• Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• One-Parameter Semigroups for Linear Evolution Equations
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• The obstacle problem for a class of hypoelliptic ultraparabolic equations
• Stabilised \(hp\)-finite element approximation of partial differential equations with nonnegative characteristic form
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