Comparison of numerical and analytical approximations of the early exercise boundary of American put options (Q2996867)
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scientific article
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| English | Comparison of numerical and analytical approximations of the early exercise boundary of American put options |
scientific article |
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COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS (English)
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4 May 2011
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option pricing
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American put option
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early exercise boundary
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limiting behaviour close to expiry
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0.8712082505226135
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0.8590315580368042
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0.8588695526123047
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0.8558050990104675
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