Free boundary and optimal stopping problems for American Asian options

Andrea Pascucci

Munich Personal RePEc Archive (Ludwig Maximilian University of Munich) · 2007 · 53 citations · 26 references

Concepts

Abstract

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.

References

26