Pricing American options under Azzalini Ito-McKean skew Brownian motions

DOI10.1016/J.AMC.2023.128040MaRDI QIDQ6160632

Athanasios A. Pantelous, Sultan Hussain, Muhammad Noorullah, Hifsa Arif

Publication date: 26 June 2023

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

zbMATH Keywords

American option pricingquadratic variationskew Brownian motionoptimal stopping problemnon-normal distribution

Mathematics Subject Classification ID

Applications of game theory (91A80) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

Cites Work

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