Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation

Author: Bokes Tomáš   Ševčovič Daniel  

Publisher: Routledge Ltd

ISSN: 1466-4313

Source: Applied Mathematical Finance, Vol.18, Iss.5, 2011-11, pp. : 367-394

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract