On American Derivatives and Related Obstacle Problems

DOI10.1142/S0219024903002109zbMath1079.91033MaRDI QIDQ5696869

Jörg Kampen

Publication date: 19 October 2005

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

zbMATH Keywords

stochastic volatilityviscosity solutionscontinuity of free boundaryexercise regions

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (1)

Obstacle problem for nonlinear integro-differential equations arising in option pricing

Cites Work

• Unnamed Item
• On the pricing of American options
• Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions
• Exercise regions of American options on several assets
• User’s guide to viscosity solutions of second order partial differential equations
• Optimal Stopping and the American Put
• The Valuation of American Options on Multiple Assets
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs

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