INTEGRAL EQUATION FORMULATION FOR SHOUT OPTIONS
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Publication:4683923
DOI10.1017/S1446181118000160zbMath1416.91379OpenAlexW2886934062MaRDI QIDQ4683923
Roland Mallier, Joanna M. Goard
Publication date: 26 September 2018
Published in: The ANZIAM Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s1446181118000160
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Cites Work
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- The Pricing of Options and Corporate Liabilities
- The analyticity of solutions of the Stefan problem
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- Analyticity of the free boundary for the Stefan problem
- Laplace transforms and the American straddle
- The Cauchy-Stefan problem
- Exact solutions for a strike reset put option and a shout call option
- The American straddle close to expiry
- CRITICAL STOCK PRICE NEAR EXPIRATION
- Free boundary problem for the heat equation with applications to problems of change of phase. I. General method of solution
- Some mathematical results in the pricing of American options
- Optimal Stopping and the American Put
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- Optimal exercise boundary for an American put option
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- A Note on a Moving Boundary Problem Arising in the American Put Option
- American options on assets with dividends near expiry
- PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD
- Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products
- Shout options: A framework for pricing contracts which can be modified by the investor
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