Free boundary and optimal stopping problems for American Asian options

Andrea Pascucci

MPRA Paper from University Library of Munich, Germany

Abstract: 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 su±ciently general to include geometric Asian options with non-constant volatility and recent path-dependent volatility models.

Keywords: optimal stopping; free boundary; Asian option; American option (search for similar items in EconPapers)
JEL-codes: C02 G13 (search for similar items in EconPapers)
Date: 2007-09-07
New Economics Papers: this item is included in nep-sea
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Citations: View citations in EconPapers (1)

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Journal Article: Free boundary and optimal stopping problems for American Asian options (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:4766

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