The Valuation of American Options with Stochastic Stopping Time Constraints

DOI10.1080/13504860802645706zbMath1179.91242OpenAlexW2067418589MaRDI QIDQ3652698

Daniel Egloff, Markus Leippold

Publication date: 16 December 2009

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

Full work available at URL: https://doi.org/10.1080/13504860802645706

zbMATH Keywords

Monte Carlo simulationAmerican optionsFeller processmanagement optionsoptimal stopping under constraintsout-performance options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

On Some Optimal Stopping Problems with Constraint ⋮ On the forward algorithm for stopping problems on continuous-time Markov chains

Cites Work

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• On the pricing of American options
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• Valuing American Options by Simulation: A Simple Least-Squares Approach