Free boundary and optimal stopping problems for American Asian options

Finance and Stochastics

Volumn 12, Issue 1, 2008, Pages 21-41

  Pascucci, Andrea ^a  

^a UNIVERSITY OF BOLOGNA   (Italy)

Author keywords

American option; Asian option; Free boundary problem; Optimal stopping

Indexed keywords

EID: 36549065783     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-007-0051-7     Document Type: Article

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