American type geometric step options

DOI10.3934/JIMO.2013.9.549MaRDI QIDQ380484zbMATHOpenAlexFDO

Authors Hailiang Yang, Xiaoyu Xing

Publication date 14 November 2013

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2013.9.549

zbMATH Keywords

Feynman-Kac formulafinite difference methodvariational inequalitygeometric step optionoptimal exercise level

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(7)

• Step options.
• Pricing step options under the CEV and other solvable diffusion models
• A Hamiltonian approach to floating barrier option pricing
• American step options
• Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
• Pricing step-up options using Laplace transform
• A penalty approximation method for a semilinear parabolic double obstacle problem

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