Properties of American Volatility Options in the Mean-Reverting 3/2 Volatility Model (Q5250037): Difference between revisions

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+https://doi.org/10.1137/130924573
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+W1996272694
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+Q3331506
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
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+A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
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+CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
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+The Valuation of Volatility Options
@@ Property / cites work: The Valuation of Volatility Options / rank @@
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+Convexity of the optimal stopping boundary for the American put option
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+American options on assets with dividends near expiry
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+Two singular diffusion problems
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+Q3251632
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+Q5520962
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+Analyticity of the free boundary for the Stefan problem
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+Convexity of the free boundary in the Stefan problem and in the dam problem
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+STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS
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+Optimal Stopping and the American Put
@@ Property / cites work: Optimal Stopping and the American Put / rank @@
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+A Free Boundary Problem Connected with the Optimal Stopping Problem for Diffusion Processes
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+Optimal exercise boundary for an American put option
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+Mathematical models of financial derivatives
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+Q4905685
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