Optimal exercise of American put options near maturity: A new economic perspective
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DOI: 10.1007/s11147-021-09180-w
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- Battauz, Anna & De Donno, Marzia & Sbuelz, Alessandro, 2022. "On the exercise of American quanto options," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
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More about this item
Keywords
American options; Valuation; Optimal exercise; Critical price; European options;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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