On a constant related to American type options

DOI10.1090/S0094-9000-2011-00836-8zbMath1232.91673MaRDI QIDQ3114558

Georgiy M. Shevchenko

Publication date: 19 February 2012

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

free boundary problemoptimal stoppinggeometric Brownian motionAmerican option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Critical price near maturity for an American option on a dividend-paying stock.
• Exercise regions of American options on several assets
• A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
• The Valuation of American Options on Multiple Assets
• American options on assets with dividends near expiry
• The Mathematics of Financial Derivatives

This page was built for publication: On a constant related to American type options