COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS (Q2996867): Difference between revisions

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+Daniel Ševčovič
@@ Property / author: Daniel Ševčovič / rank @@
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+MaRDI publication profile
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+.0979
@@ Property / arXiv ID: 1002.0979 / rank @@
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+CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA
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+Optimal exercise boundary for an American put option
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+A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
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+On the pricing of American options
@@ Property / cites work: On the pricing of American options / rank @@
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+CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
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+American options on assets with dividends near expiry
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+A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
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+Q3933378
@@ Property / cites work: Q3933378 / rank @@
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+Free Boundary Problems in Mathematical Finance
@@ Property / cites work: Free Boundary Problems in Mathematical Finance / rank @@
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+The American put is log-concave in the log-price
@@ Property / cites work: The American put is log-concave in the log-price / rank @@
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+ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
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+Convexity of the optimal stopping boundary for the American put option
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+A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+On the numerical solution of nonlinear Black-Scholes equations
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+LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
@@ Property / cites work: LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS / rank @@
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+The Mathematics of Financial Derivatives
@@ Property / cites work: The Mathematics of Financial Derivatives / rank @@
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@@ Property / cites work @@
+Analysis of the free boundary for the pricing of an American call option
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+The pricing of the American option
@@ Property / cites work: The pricing of the American option / rank @@
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@@ Property / cites work @@
+Q4349551
@@ Property / cites work: Q4349551 / rank @@
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+W3124304278
@@ Property / OpenAlex ID: W3124304278 / rank @@
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