The American put with finite‐time maturity and stochastic interest rate

DOI10.1111/mafi.12361zbMath1522.91265arXiv2104.08502OpenAlexW3152726991MaRDI QIDQ6054438

Cheng Cai, Jan Palczewski, Tiziano De Angelis

Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.08502

zbMATH Keywords

integral equationsfree boundary problemsstochastic interest rateAmerican put option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

Related Items (2)

A change of variable formula with applications to multi-dimensional optimal stopping problems ⋮ On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions

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