The British call option

DOI10.1080/14697688.2012.696676zbMath1280.91175OpenAlexW2137299907MaRDI QIDQ5746745

Goran Peskir, Farman Samee

Publication date: 8 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.696676

zbMATH Keywords

optimal stoppingnonlinear integral equationgeometric Brownian motionAmerican call optionEuropean call optionlocal time-space calculusparabolic free-boundary problemnon-monotone free boundaryarbitrage-free priceliquid/illiquid marketrational exercise boundaryBritish call optionBritish put-call symmetry

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

THE BRITISH ASSET-OR-NOTHING PUT OPTION ⋮ Optimal stopping with private information ⋮ A recursive algorithm for selling at the ultimate maximum in regime-switching models ⋮ American Strangle Options ⋮ The British Lookback Option with Fixed Strike ⋮ The British Russian Option ⋮ THE BRITISH KNOCK-OUT PUT OPTION

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• The trap of complacency in predicting the maximum
• A change-of-variable formula with local time on curves
• The British Put Option
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• ON THE AMERICAN OPTION PROBLEM

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