American type geometric step options

DOI10.3934/jimo.2013.9.549zbMath1275.91138OpenAlexW2058696083MaRDI QIDQ380484

Hailiang Yang, Xiao-yu Xing

Publication date: 14 November 2013

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2013.9.549

zbMATH Keywords

finite difference methodvariational inequalityFeynman-Kac formulageometric step optionoptimal exercise level

Mathematics Subject Classification ID

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

Related Items (4)

Geometric step options and Lévy models: duality, pides, and semi-analytical pricing ⋮ A Hamiltonian approach to floating barrier option pricing ⋮ A penalty approximation method for a semilinear parabolic double obstacle problem ⋮ American step options

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