Pricing American options under Azzalini Ito-McKean skew Brownian motions
DOI10.1016/J.AMC.2023.128040MaRDI QIDQ6160632FDOQ6160632
Authors: S. Hussain, Hifsa Arif, Muhammad Noorullah, Athanasios A. Pantelous 
Publication date: 26 June 2023
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
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optimal stopping problemquadratic variationskew Brownian motionAmerican option pricingnon-normal distribution
Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Applications of game theory (91A80) Financial markets (91G15) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
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- Pricing discretely-monitored double barrier options with small probabilities of execution
- Valuation of American options by the gradient projection method
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