Optimal stopping and free boundary problems
نویسندگان
چکیده
منابع مشابه
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.
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ژورنال
عنوان ژورنال: Rocky Mountain Journal of Mathematics
سال: 1974
ISSN: 0035-7596
DOI: 10.1216/rmj-1974-4-3-539