The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate

DOI10.1007/s00245-008-9056-7zbMath1168.91476OpenAlexW1976063425MaRDI QIDQ836062

Nasir Rehman, Malkhaz Shashiashvili

Publication date: 31 August 2009

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

Full work available at URL: https://doi.org/10.1007/s00245-008-9056-7

zbMATH Keywords

optimal stoppingAmerican put optionoptimal exercise boundarySnell envelopeearly exercise premium representationtime-dependent modelzeros of semimartingales

Mathematics Subject Classification ID

Related Items (2)

Sensitivity analysis of the optimal exercise boundary of the American put option ⋮ A note on the nonlinear Volterra integral equation for the early exercise boundary

Cites Work

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• Optimal stopping, free boundary, and American option in a jump-diffusion model

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