On Asian Options of American Type
by G. Peskir and N. Uys
Research Reports
Number 436 (December 2003)
We show that the optimal stopping boundary for the the early exercise Asian call option with floating strike can be characterized as a unique solution of a nonlinear integral equation arising from the early exercise premium representation (an explicit formula for the arbitrage-free price in terms of the optimal stopping boundary). The key argument in the proof relies upon a local time-space formula.
Format available:
Not available online