The British put option

DOI10.1080/1350486X.2011.591167zbMATH Open1239.91166MaRDI QIDQ2889604FDOQ2889604

Authors: Goran Peskir, Farman Samee 

Publication date: 8 June 2012

Published in: Applied Mathematical Finance (Search for Journal in Brave)

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zbMATH Keywords

geometric Brownian motionoptimal stoppingnonlinear integral equationAmerican put optionlocal time-space calculusparabolic free-boundary problemEuropean put optionnon-monotone free boundaryarbitrage-free priceBritish put optionliquid/illiquid marketrational exercise boundary

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• A change-of-variable formula with local time on curves
• Title not available (Why is that?)
• Optimal Stopping and the American Put
• Title not available (Why is that?)
• The trap of complacency in predicting the maximum
• The compound option approach to American options on jump-diffusions
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• ON THE AMERICAN OPTION PROBLEM

Cited In (12)

• The British Asian option
• American strangle options
• The British lookback option with fixed strike
• Approximate solutions for the British put option and its optimal exercise boundary
• VALUATION AND OPTIMAL EXERCISE TIME FOR THE BANXICO PUT OPTION
• The British knock-out put option
• The British call option
• Optimal stopping with private information
• The British asset-or-nothing put option
• Mathematical properties of American chooser options
• A recursive algorithm for selling at the ultimate maximum in regime-switching models
• The British Russian Option

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