Munich Personal RePEc Archive (Ludwig Maximilian University of Munich) · 2007 · 53 citations · 26 references
BusinessDecision SciencesEconomicsDecision TheoryFinancial EconomicsStochastic ProcessesBoundary ConditionsBoundary-value ProblemsOptimal ControlOptimal StoppingOption PricingOption Pricing ModelsDynamic Programming For StoppingFree-boundary ProblemsMinimax Optimal StoppingOptimal Stopping In PricingOptimal Stopping RulesStopping Criteria
We give a complete and self-contained proof of the existence of a strong solution to the\nfree boundary and optimal stopping problems for pricing American path dependent options.\nThe framework is su±ciently general to include geometric Asian options with non-constant\nvolatility and recent path-dependent volatility models.
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J. H. van Lint · 2020 · 4.5K citations
Hypoelliptic second order differential equations
Lars Hörmander · Acta Mathematica · 1967 · 2.4K citations · Full text
Theory of Financial Decision Making.
Eduardo S. Schwartz, Jonathan E. Ingersoll · The Journal of Finance · 1988 · 1.9K citations
L. C. G. Rogers, Zhan Shi · Journal of Applied Probability · 1995 · 536 citations
Business, Finance, Mathematics +14