The spread option optimal stopping game
نویسنده
چکیده
We present a solution to an optimal stopping game for geometric Brownian motion with gain functions having the form of payoff functions of spread options. The method of proof is based on reducing the initial problem to a free-boundary problem and solving the latter by means of the smooth-fit principle. The derived result can be interpreted as pricing the (perpetual) spread game option in the Black-Merton-Scholes model.
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تاریخ انتشار 2008