Abstract
We give a complete and self-contained proof of the existence of a strong solution to the free boundary and optimal stopping problems for pricing American path-dependent options. The framework is sufficiently general to include geometric Asian options with nonconstant volatility and recent path-dependent volatility models.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
