Optimal exercise of American put options near maturity: a new economic perspective
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Publication:2165385
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Cites work
- A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
- American options and callable bonds under stochastic interest rates and endogenous bankruptcy
- American options on assets with dividends near expiry
- American-style derivatives. Valuation and computation.
- An alternative approach to the valuation of American options and applications
- Analytical approximations for the critical stock prices of American options: a performance comparison
- Analytical pricing of American options
- Critical price near maturity for an American option on a dividend-paying stock.
- CRITICAL STOCK PRICE NEAR EXPIRATION
- Double continuation regions for American and Swing options with negative discount rate in Lévy models
- scientific article; zbMATH DE number 3740439 (Why is no real title available?)
- scientific article; zbMATH DE number 797366 (Why is no real title available?)
- Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions
- Optimal stopping, free boundary, and American option in a jump-diffusion model
- Perpetual American options in incomplete markets: the infinitely divisible case
- Portfolios of American options under general preferences: results and counterexamples
- Real options with a double continuation region
- The critical price for the American put in an exponential Lévy model
- The critical price of the American put near maturity in the jump diffusion model
- The pricing of options and corporate liabilities
Cited in
(7)- American put options with a finite set of exercisable time epochs
- Optimal exercise price of American options near expiry
- Optimal exercise boundary for an American put option
- On some generalized American style derivatives
- FX Open Forward
- American options with acceleration clauses
- American options with liquidation penalties
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