The American put option in a one-dimensional diffusion model with level-dependent volatility

DOI10.1080/17442500600779663zbMath1284.91537OpenAlexW2018368929MaRDI QIDQ3429331

No author found.

Publication date: 30 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500600779663

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate ⋮ PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES

Cites Work

• Unnamed Item
• The pricing of the American option
• On optimal stopping and free boundary problems
• Volatility time and properties of option prices
• Local times, optimal stopping and semimartingales
• Properties of American option prices
• Semimartingale Inequalities for The Snell Envelopes
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• ON THE AMERICAN OPTION PROBLEM

This page was built for publication: The American put option in a one-dimensional diffusion model with level-dependent volatility