Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation

DOI10.1080/1350486X.2010.547041zbMath1251.91058arXiv0912.1321OpenAlexW3121220780MaRDI QIDQ2889595

Tomáš Bokes, Daniel Ševčovič

Publication date: 8 June 2012

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.1321

zbMATH Keywords

option pricingearly exercise boundaryAmerican-style Asian optionslimiting behaviour close to expiry

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

An Efficient Numerical Method for the Valuation of American Better-of Options Based on the Front-Fixing Transform and the Far Field Truncation

Cites Work

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• On the pricing of American options
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• ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE
• Free Boundary Problems in Mathematical Finance
• Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options
• Some mathematical results in the pricing of American options
• Optimal exercise boundary for an American put option
• The Mathematics of Financial Derivatives
• Spectral Expansions for Asian (Average Price) Options
• CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS

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