Analysis of pricing American options on the maximum (minimum) of two risk assets

DOI10.4171/IFB/51zbMATH Open0994.35117MaRDI QIDQ1599129FDOQ1599129

Authors: Lishang Jiang 

Publication date: 4 June 2002

Published in: Interfaces and Free Boundaries (Search for Journal in Brave)

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zbMATH Keywords

free boundaryparabolic obstacle problemcall/put options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (8)

• Stock loan with automatic termination clause, cap and margin
• The valuation of American call options on the minimum of two dividend-paying assets
• Pricing variable annuity with surrender guarantee
• Making the best of best-of
• Valuation of a nonexpiring American option on the maximum of a risky and a riskless asset
• CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
• Options on the minimum or the maximum of two average prices
• A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets

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