Mathematical properties of American chooser options

DOI10.1142/S0219024918500620MaRDI QIDQ4645333zbMATH OpenOpenAlexWikidataFDO

Authors 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

American chooser optionsAmerican strangle optionschange of variablefree boundariesoptimal stopping

Mathematics Subject Classification ID

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

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Cites work

• A change-of-variable formula with local time on curves
• American chooser options
• American-style derivatives. Valuation and computation.
• Evaluation of American strangles
• scientific article; zbMATH DE number 1227086 (Why is no real title available?)
• Laplace transforms and the American straddle
• ON THE AMERICAN OPTION PROBLEM
• On the structure of discounted optimal stopping problems for one-dimensional diffusions
• Optimal Stopping and the American Put
• Option pricing and portfolio hedging under the mixed hedging strategy
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• Stochastic calculus for finance. II: Continuous-time models.
• The British put option
• The Russian option: finite horizon

Cited in

(2)

• American chooser options
• Optionality as a binary operation

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