Asymptotic behavior of random maturity American options
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Publication:3107615
zbMATH Open1229.91325MaRDI QIDQ3107615FDOQ3107615
Authors: Faouzi Trabelsi 
Publication date: 24 December 2011
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Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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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