On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach
DOI10.3934/jdg.2019004zbMath1425.91406OpenAlexW2913725189MaRDI QIDQ2274620
María Teresa V. Martínez-Palacios, Ambrosio Ortiz-Ramírez, Adrián Hernández-del-Valle
Publication date: 1 October 2019
Published in: Journal of Dynamics and Games (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jdg.2019004
geometric meanstochastic interest rateportfolio choiceoptimal stochastic controlAmerican-style Asian option pricing
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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