Optimal exercise boundary for an American put option
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DOI: 10.1080/135048698334673
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References listed on IDEAS
- Guy Barles & Julien Burdeau & Marc Romano & Nicolas Samsoen, 1995. "Critical Stock Price Near Expiration," Mathematical Finance, Wiley Blackwell, vol. 5(2), pages 77-95, April.
- Kim, In Joon, 1990. "The Analytic Valuation of American Options," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 547-572.
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Cited by:
- Daniel Sevcovic, 2007. "An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation," Papers 0710.5301, arXiv.org.
- Jun Cheng & Jin Zhang, 2012. "Analytical pricing of American options," Review of Derivatives Research, Springer, vol. 15(2), pages 157-192, July.
- Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020.
"Neural Network Pricing of American Put Options,"
Risks, MDPI, vol. 8(3), pages 1-24, July.
- Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020. "Neural Network pricing of American put options," Working Papers REM 2020/0122, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Chung, Y. Peter & Johnson, Herb & Polimenis, Vassilis, 2011. "The critical stock price for the American put option," Finance Research Letters, Elsevier, vol. 8(1), pages 8-14, March.
- Hsuan-Ku Liu, 2013. "The Convexity of the Free Boundary for the American put option," Papers 1304.5337, arXiv.org, revised Apr 2017.
- Daniel Sevcovic & Martin Takac, 2011. "Sensitivity analysis of the early exercise boundary for American style of Asian options," Papers 1101.3071, arXiv.org.
- Chung, San-Lin & Shih, Pai-Ta, 2009. "Static hedging and pricing American options," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2140-2149, November.
- Christian Bayer & Ra'ul Tempone & Soren Wolfers, 2018. "Pricing American Options by Exercise Rate Optimization," Papers 1809.07300, arXiv.org, revised Aug 2019.
- Xinfu Chen & John Chadam & Lishang Jiang & Weian Zheng, 2008. "Convexity Of The Exercise Boundary Of The American Put Option On A Zero Dividend Asset," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 185-197, January.
- Dariusz Gatarek & Juliusz Jabłecki, 2021. "Between Scylla and Charybdis: The Bermudan Swaptions Pricing Odyssey," Mathematics, MDPI, vol. 9(2), pages 1-32, January.
- Kristoffer Glover & Peter W Duck & David P Newton, 2010. "On nonlinear models of markets with finite liquidity: Some cautionary notes," Published Paper Series 2010-5, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Fannu Hu & Charles Knessl, 2010. "Asymptotics of Barrier Option Pricing Under the CEV Process," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(3), pages 261-300.
- Tomas Bokes & Daniel Sevcovic, 2009. "Early exercise boundary for American type of floating strike Asian option and its numerical approximation," Papers 0912.1321, arXiv.org.
- Roland Mallier & Ghada Alobaidi, 2000. "Laplace transforms and American options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(4), pages 241-256.
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Keywords
Put Option; Exercise Boundary; American Option; Free Boundary;All these keywords.
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