Probabilistic approach to free boundary problems and pricing of American options

DOI10.1007/S10958-011-0406-7MaRDI QIDQ2016260zbMATH OpenOpenAlexFDO

Authors M. M. Romadanova, Yana Belopolskaya

Publication date 20 June 2014

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-011-0406-7

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• American options in regime-switching models
• American options: the EPV pricing model
• Controlled Markov processes and viscosity solutions
• Financial Modelling with Jump Processes
• Mathematical models of financial derivatives
• On optimal stopping and free boundary problems
• On the pricing of American options
• On the theory of option pricing
• Option pricing when underlying stock returns are discontinuous
• PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
• Perpetual American Options Under Lévy Processes
• Randomization and the American put
• The pricing of options and corporate liabilities

Cited in

(7)

• scientific article; zbMATH DE number 2042577 (Why is no real title available?)
• A moving boundary approach to American option pricing
• scientific article; zbMATH DE number 1342363 (Why is no real title available?)
• Global regularity and probabilistic schemes for free boundary surfaces of multivariate American derivatives and their Greeks
• Probabilistic numerical approach for PDE and its application in the valuation of European options
• Free Boundary Problems in Mathematical Finance
• Free boundary and American options in a jump-diffusion model

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