Free boundary and optimal stopping problems for American Asian options

Free boundary and optimal stopping problems for American Asian options

We give a complete and self-contained proof of the existence of a strong solution to the free boundary and optimal stopping problems for pricing American path-dependent options. The framework is sufficiently general to include geometric Asian options with nonconstant volatility and recent path-dependent volatility models.

Optimal stopping and American options

Characterization of Optimal Stopping Regions of American Asian and Lookback Options

A general framework is developed to analyze the optimal stopping (exercise) regions of American path dependent options with either Asian feature or lookback feature. We examine the monotonicity properties of the option values and stopping regions with respect to the interest rate, dividend yield and time. From the ordering properties of the values of American lookback options and American Asian...

Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions

We approximate the price of the American put for jump diffusions by a sequence of functions, which are computed iteratively. This sequence converges to the price function uniformly and exponentially fast. Each element of the approximating sequence solves an optimal stopping problem for geometric Brownian motion, and can be numerically computed using the classical finite difference methods. We p...

Optimal Stopping and Applications Example 2: American options