A sequential quadratic programming numerical method is proposed for American option
pricing based on the variational inequality formulation. The variational inequality is …

This paper proposes a novel representation for the early exercise boundary of American-
style double knock-out options in terms of the simpler optimal stopping boundary of a nested …

Y (t)= Y c (t)+ Y d (t),(A. 1) where {Y c (t)| t∈ T} and {Y d (t)| t∈ T} are, respectively, the
continuous and discontinuous parts of {Y (t)| t∈ T}. Since the jumps in the return process {Y …

We consider risk‐averse investors with different levels of anxiety about asset price
drawdowns. The latter is defined as the distance of the current price away from its best …

The aim of this study is to explore the behavior of perpetual game put options, also known as
cancellable puts. Their main characteristic is the opportunity of the buyer and the seller to …

We investigate entry timing and product position decisions with market size uncertainty
under continuous-time Hotelling type spatial duopoly competition. We show how entry timing …

This study proposes an exotic option that extends the classical European option by requiring
option holders to continuously trade in underlying assets according to a predesignated …

The present article studies geometric step options in exponential Lévy markets. Our
contribution is manifold and extends several aspects of the geometric step option pricing …

Acceleration clauses shorten the residual life of an option when an acceleration condition is
met. Acceleration clauses are frequent in warrants, American call options on traded stocks …

In this paper we consider the following optimal stopping problem VA ω (s)= sup τ∈ TE s [e-
∫ 0 τ ω (S w) dwg (S τ)], where the process S t is a jump-diffusion process, T is a family of …