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Optimal stopping problems in mathematical finance... The closed form solution to the perpetual American chooser option pricing problem is also obtained, by means of the analysis of the equivalent two-sided free-boundary problem....

général - core.ac.uk - PDF: core.ac.uk

Sequential international joint-ventures and the option to choose... The evolutionary process of the value of the foreign direct investment can be interpreted as a compound complex chooser option....

PDF: 128.118.178.162

Penalty methods for american options with stochastic volatility ... Some example computations are presented for option pricing problems based on a stochastic volatility model, including an exotic American chooser option written on a put and call with discrete double knockout barriers and discrete dividends

Penalty methods for american options with stochastic volatility... Some example computations are presented for option pricing problems based on a stochastic volatility model, including an exotic American chooser option written on a put and call with discrete double knockout barriers and discrete dividends

PDF: citeseerx.ist.psu.edu