INTEGRAL EQUATION FORMULATION FOR SHOUT OPTIONS

DOI10.1017/S1446181118000160zbMath1416.91379OpenAlexW2886934062MaRDI QIDQ4683923

Roland Mallier, Joanna M. Goard

Publication date: 26 September 2018

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181118000160

zbMATH Keywords

integral equationsfree boundary problemsshout options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Linear integral equations (45A05)

Related Items (1)

A new integral equation approach for pricing American-style barrier options with rebates

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• The analyticity of solutions of the Stefan problem
• On the pricing of American options
• Analyticity of the free boundary for the Stefan problem
• Laplace transforms and the American straddle
• The Cauchy-Stefan problem
• Exact solutions for a strike reset put option and a shout call option
• The American straddle close to expiry
• CRITICAL STOCK PRICE NEAR EXPIRATION
• Free boundary problem for the heat equation with applications to problems of change of phase. I. General method of solution
• Some mathematical results in the pricing of American options
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Optimal exercise boundary for an American put option
• OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
• A Note on a Moving Boundary Problem Arising in the American Put Option
• American options on assets with dividends near expiry
• PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD
• Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products
• Shout options: A framework for pricing contracts which can be modified by the investor

This page was built for publication: INTEGRAL EQUATION FORMULATION FOR SHOUT OPTIONS