Sensitivity analysis of the optimal exercise boundary of the American put option (Q313736): Difference between revisions

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-.1515/gmj-2016-0017
@@ Property / DOI: 10.1515/gmj-2016-0017 / rank @@
-Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G40
@@ Property / Mathematics Subject Classification ID: 60G40 / rank @@
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+H30
@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
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@@ Property / zbMATH DE Number @@
+6626296
@@ Property / zbMATH DE Number: 6626296 / rank @@
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@@ Property / zbMATH Keywords @@
+American put option
@@ Property / zbMATH Keywords: American put option / rank @@
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@@ Property / zbMATH Keywords @@
+diffusion model
@@ Property / zbMATH Keywords: diffusion model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
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@@ Property / zbMATH Keywords @@
+parabolic obstacle problem
@@ Property / zbMATH Keywords: parabolic obstacle problem / rank @@
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@@ Property / zbMATH Keywords @@
+optimal exercise boundary
@@ Property / zbMATH Keywords: optimal exercise boundary / rank @@
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@@ Property / zbMATH Keywords @@
+value function
@@ Property / zbMATH Keywords: value function / rank @@
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@@ Property / MaRDI profile type @@
+Publication
@@ Property / MaRDI profile type: Publication / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1515/gmj-2016-0017
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@@ Property / OpenAlex ID @@
+W2340249941
@@ Property / OpenAlex ID: W2340249941 / rank @@
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@@ Property / cites work @@
+An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options
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@@ Property / cites work @@
+Properties of American option prices
@@ Property / cites work: Properties of American option prices / rank @@
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@@ Property / cites work @@
+Robustness of the Black and Scholes Formula
@@ Property / cites work: Robustness of the Black and Scholes Formula / rank @@
+Normal rank
@@ Property / cites work @@
+Volatility misspecification, option pricing and superreplication via coupling
+Normal rank
@@ Property / cites work @@
+Optimal Stopping and the American Put
@@ Property / cites work: Optimal Stopping and the American Put / rank @@
+Normal rank
@@ Property / cites work @@
+Q4368791
@@ Property / cites work: Q4368791 / rank @@
+Normal rank
@@ Property / cites work @@
+Critical price near maturity for an American option on a dividend-paying stock.
+Normal rank
@@ Property / cites work @@
+Optimal stopping, free boundary, and American option in a jump-diffusion model
+Normal rank
@@ Property / cites work @@
+The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for finance. II: Continuous-time models.
+Normal rank
@@ Property / cites work @@
+Exercise regions of American options on several assets
+Normal rank
@@ Property / cites work @@
+Some mathematical results in the pricing of American options
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@@ Property / DOI @@
+.1515/GMJ-2016-0017
@@ Property / DOI: 10.1515/GMJ-2016-0017 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:313736