American type geometric step options

DOI10.3934/JIMO.2013.9.549zbMATH Open1275.91138OpenAlexW2058696083MaRDI QIDQ380484FDOQ380484

Authors: Hailiang Yang, Xiaoyu Xing 

Publication date: 14 November 2013

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2013.9.549

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zbMATH Keywords

Feynman-Kac formulafinite difference methodvariational inequalitygeometric step optionoptimal exercise level

Mathematics Subject Classification ID

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

Cited In (7)

• Pricing step options under the CEV and other solvable diffusion models
• A Hamiltonian approach to floating barrier option pricing
• Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
• A penalty approximation method for a semilinear parabolic double obstacle problem
• American step options
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• Pricing step-up options using Laplace transform

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