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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 79, 2007 - Issue 1-2: Optimal Stopping and Applications Part I
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Original Articles

The American put option in a one-dimensional diffusion model with level-dependent volatility

P. Babilua The Probability Theory and Mathematical Statistics Chair, Tbilisi State University, 2, University Street, Tbilisi, 0143, Georgia
,
I. Bokuchava The Probability Theory and Mathematical Statistics Chair, Tbilisi State University, 2, University Street, Tbilisi, 0143, Georgia
,
B. Dochviri The Probability Theory and Mathematical Statistics Chair, Tbilisi State University, 2, University Street, Tbilisi, 0143, Georgia
&
M. Shashiashvili School of Mathematical Sciences GCU, Lahore 68-B, New Muslim Town, Lahore, PakistanCorrespondence[email protected]
Pages 5-25 | Received 10 Feb 2006, Accepted 27 Apr 2006, Published online: 05 Nov 2008

Citations (4)

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Read on this site (1)

M. H. Vellekoop & J. W. Nieuwenhuis. (2011) An integral equation for American put options on assets with general dividend processes. Stochastics 83:4-6, pages 555-567.
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Articles from other publishers (3)

Vicky Henderson, Jia SunA. Elizabeth Whalley. (2014) PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES. Mathematical Finance 24:3, pages 533-566.
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Nasir Rehman & Malkhaz Shashiashvili. (2008) The American Foreign Exchange Option in Time-Dependent One-Dimensional Diffusion Model for Exchange Rate. Applied Mathematics and Optimization 59:3, pages 329-363.
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Vicky Henderson, A. Elizabeth Whalley & Jia Sun. (2011) Portfolios of American Options Under General Preferences: Results and Counterexamples. SSRN Electronic Journal.
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