A barrier option of American type

DOI10.1007/s002450010013zbMath1098.91054OpenAlexW2033204695MaRDI QIDQ1596351

Ioannis Karatzas, Hui Wang

Publication date: 20 August 2001

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s002450010013

zbMATH Keywords

variational inequalityoptimal stoppinghedgingsingular stochastic controlAmerican optionconstrained portfoliosbarrier optionelastic boundary condition

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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