American Options with Discontinuous Two-Level Caps

DOI10.1137/17M1110791zbMath1408.91211arXiv1707.06138OpenAlexW2738667378MaRDI QIDQ4635248

Yerkin Kitapbayev, Jérôme B. Detemple

Publication date: 16 April 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.06138

zbMATH Keywords

integral equationoptimal stoppinglocal timegeometric Brownian motionfree-boundary problemAmerican capped option

Mathematics Subject Classification ID

Other nonlinear integral equations (45G10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

Related Items (3)

Double continuation regions for American options under Poisson exercise opportunities ⋮ American step options ⋮ Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the pricing of American options
• A change-of-variable formula with local time on curves
• Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay

This page was built for publication: American Options with Discontinuous Two-Level Caps