Asymptotic analysis of shout options close to expiry

DOI10.1155/2014/920385MaRDI QIDQ469983zbMATH OpenOpenAlexWikidataFDO

Authors G. Alobaidi, R. Mallier

Publication date 11 November 2014

Published in ISRN Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/920385

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Cites work

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• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
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• CRITICAL STOCK PRICE NEAR EXPIRATION
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• Laplace transforms and shout options
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• On free boundary problems with arbitrary initial and flux conditions
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• Optimal exercise boundary for an American put option
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
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Cited in

(6)

• Approximate solutions for the British put option and its optimal exercise boundary
• Asymptotics for Americans: American options close to expiry
• Shout options: A framework for pricing contracts which can be modified by the investor
• scientific article; zbMATH DE number 2150918 (Why is no real title available?)
• Laplace transforms and shout options
• Integral equation formulation for shout options

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