Asymptotic behavior of random maturity American options

MaRDI QIDQ3107615zbMATH OpenFDO

Authors Faouzi Trabelsi

Publication date 24 December 2011

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(5)

• American options under stochastic volatility: control variates, maturity randomization \& multiscale asymptotics
• Convergence of price and sensitivities in Carr's randomization approximation globally and near barrier
• Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models
• Asymptotic behaviour of random maturity barrier options
• Maturity randomization for stochastic control problems

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