MATHEMATICAL PROPERTIES OF AMERICAN CHOOSER OPTIONS

DOI10.1142/S0219024918500620zbMath1419.91624OpenAlexW2952174407WikidataQ128813561 ScholiaQ128813561MaRDI QIDQ4645333

Shi Qiu, Sovan Mitra

Publication date: 10 January 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500620

zbMATH Keywords

optimal stoppingchange of variablefree boundariesAmerican strangle optionsAmerican chooser options

Mathematics Subject Classification ID

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

Cites Work

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• Laplace transforms and the American straddle
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• On the structure of discounted optimal stopping problems for one-dimensional diffusions
• Optimal Stopping and the American Put
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• ON THE AMERICAN OPTION PROBLEM

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