Probabilistic approach to free boundary problems and pricing of American options
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Publication:2016260
DOI10.1007/S10958-011-0406-7zbMATH Open1290.91156OpenAlexW1982600291MaRDI QIDQ2016260FDOQ2016260
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
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Cites Work
- The pricing of options and corporate liabilities
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- Option pricing when underlying stock returns are discontinuous
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- Randomization and the American put
- American options: the EPV pricing model
- On optimal stopping and free boundary problems
- PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
- American options in regime-switching models
Cited In (7)
- Title not available (Why is that?)
- Free Boundary Problems in Mathematical Finance
- Global regularity and probabilistic schemes for free boundary surfaces of multivariate American derivatives and their Greeks
- Title not available (Why is that?)
- Probabilistic numerical approach for PDE and its application in the valuation of European options
- Free boundary and American options in a jump-diffusion model
- A moving boundary approach to American option pricing
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