Analysis of pricing American options on the maximum (minimum) of two risk assets

Interfaces and Free Boundaries

Volumn 4, Issue 1, 2002, Pages 27-46

  Jiang, Lishang ^a  

^a TONGJI UNIVERSITY   (China)

Author keywords

American call put options; Free boundary; Parabolic obstacle problem; Penalized term

Indexed keywords

EID: 84967566097     PISSN: 14639963     EISSN: None     Source Type: Journal    
DOI: 10.4171/IFB/51     Document Type: Article

References (10)

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