The early exercise premium in American options by using nonparametric regressions (Q4555849)
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scientific article; zbMATH DE number 6983642
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| English | The early exercise premium in American options by using nonparametric regressions |
scientific article; zbMATH DE number 6983642 |
Statements
THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS (English)
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23 November 2018
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optimal stopping time
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early exercise premium
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American put option
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European put option
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semi-parametric method
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nonparametric method
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0.8133628368377686
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0.7955363988876343
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0.745349645614624
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0.7416182160377502
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