British put option on stocks under stochastic interest rate

• المؤلفون الرئيسيون: De Lara-Tuprio, Elvira P, Sumulpong, Felipe R
• التنسيق: text
• منشور في: Archīum Ateneo 2017
• الموضوعات: British put option; american put option; european put option; arbitrage-free price; vasicek model; rational exercise boundary; geometric Brownian motion; optimal stopping time; free boundary problem; Mathematics
• الوصول للمادة أونلاين: https://archium.ateneo.edu/mathematics-faculty-pubs/66; https://content.iospress.com/articles/model-assisted-statistics-and-applications/mas412
• المؤسسة: Ateneo De Manila University

The British option was first introduced by G. Peskir and F. Samee (2011). In a British option, the holder can enjoy the early exercise feature of American option whereupon his payoff is the ’best prediction’ of the European payoff given all the information up to the exercise date under the hypothesi...