Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation (Q2889595)
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scientific article; zbMATH DE number 6043665
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| English | Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation |
scientific article; zbMATH DE number 6043665 |
Statements
Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation (English)
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8 June 2012
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option pricing
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American-style Asian options
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early exercise boundary
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limiting behaviour close to expiry
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0.90872055
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0.90691423
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0.89043134
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0.8900897
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0.8788233
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0.87759286
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0.87646884
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0.8738785
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