The British call option

DOI10.1080/14697688.2012.696676MaRDI QIDQ5746745zbMATH OpenOpenAlexFDO

Authors 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

American call optionarbitrage-free priceBritish call optionBritish put-call symmetryEuropean call optiongeometric Brownian motionliquid/illiquid marketlocal time-space calculusnon-monotone free boundarynonlinear integral equationoptimal stoppingparabolic free-boundary problemrational exercise boundary

Mathematics Subject Classification ID

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

Recommendations

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Cites work

• A change-of-variable formula with local time on curves
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• ON THE AMERICAN OPTION PROBLEM
• Optimal Stopping and the American Put
• The British put option
• The pricing of options and corporate liabilities
• The trap of complacency in predicting the maximum

Cited in

(9)

• A recursive algorithm for selling at the ultimate maximum in regime-switching models
• The British put option
• The British Russian Option
• The British lookback option with fixed strike
• The British Asian option
• American strangle options
• The British knock-out put option
• The British asset-or-nothing put option
• Approximate solutions for the British put option and its optimal exercise boundary

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