Exercise regions of American options on several assets
From MaRDI portal
Publication:1966381
DOI10.1007/s007800050064zbMath1047.91037OpenAlexW2169296382MaRDI QIDQ1966381
Publication date: 1 March 2000
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050064
Related Items
Long-term risk management of nuclear waste: A real options approach, Sensitivity analysis of the optimal exercise boundary of the American put option, Properties of the optimal stopping domain in the Lévy model, Critical price near maturity for an American option on a dividend-paying stock., The valuation of American call options on the minimum of two dividend-paying assets, On American Derivatives and Related Obstacle Problems, On the behaviour near expiry for multi-dimensional American options, On optimal stopping of multidimensional diffusions, Exercise Boundary Near Maturity for an American Option on Several Assets, Hybrid or electric vehicles? A real options perspective, Technology choice under several uncertainty sources, QUANTO LOOKBACK OPTIONS, American and European options in multi-factor jump-diffusion models, near expiry, MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING, On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems, ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS, The Critical Price of the American Put Near Maturity in the Jump Diffusion Model, Regularity of the free boundary of an American option on several assets, OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY, The Valuation of American Options with Stochastic Stopping Time Constraints, Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon, AMERICAN OPTIONS AND INCOMPLETE INFORMATION, On a constant related to American type options, The structure of the stopping region in a Lévy model, On convergence of a semi-analytical method for American option pricing