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Institutional Application Application for Journals
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Endnote
Pricing Multidimensional American Options
2023
Journal:  
International Journal of Financial Studies
Author:  
DOI:  
10.3390/ijfs11010051
Abstract:

: A new explicit form is provided for the solution of optimal stopping problems involving a multidimensional geometric Brownian motion. A free-boundary value approach is adopted and the value function is obtained via fundamental solution methods. There are many applications for the valuation of perpetual options of American style, which are of interest for finance and managerial decisions.

Keywords:

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International Journal of Financial Studies

Field :   Sosyal, Beşeri ve İdari Bilimler

Journal Type :   Uluslararası

Metrics
Article : 647
Cite : 383
2023 Impact : 0.032
Details
International Journal of Financial Studies