IDEAS home Printed from https://ideas.repec.org/a/rsk/journ0/2160562.html
   My bibliography  Save this article

A new integral representation of the early exercise boundary for American put options

Author

Listed:
  • Thomas Little and Vijay Pant
  • Chunli Hou

Abstract

ABSTRACT In this paper, the authors derive a new integral representation of the early exercise boundary for American put options. This new representation is a one-dimensional integral equation, which constitutes a reduction in dimension from the commonly used integral representation. It is shown to have some different numerical properties and is posssibly more tractable analytically than the integral representation currently found in the literature.

Suggested Citation

  • Thomas Little and Vijay Pant & Chunli Hou, . "A new integral representation of the early exercise boundary for American put options," Journal of Computational Finance, Journal of Computational Finance.
    • Handle: RePEc:rsk:journ0:2160562
    as

    Download full text from publisher

    File URL: https://www.risk.net/journal-of-computational-finance/2160562/a-new-integral-representation-of-the-early-exercise-boundary-for-american-put-options
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rsk:journ0:2160562. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thomas Paine (email available below). General contact details of provider: https://www.risk.net/journal-of-computational-finance .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.