THE BRITISH ASSET-OR-NOTHING PUT OPTION

DOI10.1142/S0219024917500303zbMath1396.91728OpenAlexW2618287293MaRDI QIDQ5281721

Min Gao

Publication date: 26 July 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024917500303

zbMATH Keywords

optimal stoppinggeometric Brownian motionparabolic free boundary problemarbitrage-free pricerational exercise boundaryAmerican asset-or-nothing put optionBritish asset-or-nothing put option

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• The trap of complacency in predicting the maximum
• The compound option approach to American options on jump-diffusions
• A change-of-variable formula with local time on curves
• The British Put Option
• The British Russian Option
• The British Lookback Option with Fixed Strike
• The British Asian Option
• THE BRITISH KNOCK-OUT PUT OPTION
• The British call option

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