Free boundary and optimal stopping problems for American Asian options

Andrea Pascucci

Finance and Stochastics, 2008, vol. 12, issue 1, 41 pages

Keywords: American option; Asian option; Free boundary problem; Optimal stopping; 35K65; C02 (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s00780-007-0051-7

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