The British Put Option

DOI10.1080/1350486X.2011.591167zbMath1239.91166MaRDI QIDQ2889604

Goran Peskir, Farman Samee

Publication date: 8 June 2012

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

zbMATH Keywords

optimal stoppingnonlinear integral equationgeometric Brownian motionAmerican put optionlocal time-space calculusparabolic free-boundary problemEuropean put optionnon-monotone free boundaryarbitrage-free priceBritish put optionliquid/illiquid marketrational exercise boundary

Mathematics Subject Classification ID

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

Related Items (10)

THE BRITISH ASSET-OR-NOTHING PUT OPTION ⋮ Optimal stopping with private information ⋮ A recursive algorithm for selling at the ultimate maximum in regime-switching models ⋮ APPROXIMATE SOLUTIONS FOR THE BRITISH PUT OPTION AND ITS OPTIMAL EXERCISE BOUNDARY ⋮ American Strangle Options ⋮ MATHEMATICAL PROPERTIES OF AMERICAN CHOOSER OPTIONS ⋮ The British call option ⋮ The British Lookback Option with Fixed Strike ⋮ The British Russian Option ⋮ THE BRITISH KNOCK-OUT PUT OPTION

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• The trap of complacency in predicting the maximum
• The compound option approach to American options on jump-diffusions
• A change-of-variable formula with local time on curves
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• ON THE AMERICAN OPTION PROBLEM

This page was built for publication: The British Put Option