Comparison of numerical and analytical approximations of the early exercise boundary of American put options (Q2996867)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5883538
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Comparison of numerical and analytical approximations of the early exercise boundary of American put options |
scientific article; zbMATH DE number 5883538 |
Statements
COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS (English)
0 references
4 May 2011
0 references
option pricing
0 references
American put option
0 references
early exercise boundary
0 references
limiting behaviour close to expiry
0 references
0 references
0 references
0 references
0.8712082505226135
0 references
0.8590315580368042
0 references
0.8588695526123047
0 references
0.8558050990104675
0 references
