British put option on stocks under stochastic interest rate

Elvira P De Lara-Tuprio, Felipe R Sumulpong

    Research output: Contribution to journalArticlepeer-review

    Original languageAmerican English
    JournalMathematics Faculty Publications
    StatePublished - Dec 7 2017

    Keywords

    • 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

    Disciplines

    • Mathematics

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