A Barrier Option of American Type

60 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

On the optimal stopping problem for one-dimensional diffusions (2003, unknown): “1 Pricing an “Up–and–Out” Barrier Put–Option of American Type under the Black–Scholes Model (Karatzas and Wang [31]) Karatzas and Wang [31] address the pricing problem for an “up–and–out” barrier put–option of American type, by solving the optimal stopping problem V (x) , sup τ≥0 Ex [ e−rτ (q − Sτ )”
Optimal stopping under ambiguity in continuous time (2013, background): “, [25].”
Some optimal stopping problems with nontrivial boundaries for pricing exotic options (2001, background): “It is interesting to see that as s approaches ∞, the free boundary x = g(s) in our problem goes asymptotically to x = as, with the same value for a as in [7].”