A new form of the early exercise premium for American type derivatives

DOI10.1016/J.CHAOS.2019.04.024MaRDI QIDQ2213635zbMATH OpenOpenAlexWikidataFDO

Authors Tsvetelin S. Zaevski

Publication date 2 December 2020

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2019.04.024

zbMATH Keywords

early exercise premiumfree boundarystopping timesAmerican derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

• The early exercise premium representation for American options on multiply assets
• THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS¹
• THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS
• The early exercise premium in American options by using nonparametric regressions
• On the Early Exercise Boundary of the American Put Option
• Robust pricing of the American put option: a note on Richardson extrapolation and the early exercise premium
• On the integral relationship between the early exercise boundary and the value function of the American put option
• The early exercise boundary for the American put near expiry: Numerical approximation

Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 52588 (Why is no real title available?)
• scientific article; zbMATH DE number 973941 (Why is no real title available?)
• scientific article; zbMATH DE number 3390061 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Free boundary and optimal stopping problems for American Asian options
• On the theory of option pricing
• Optimal Stopping and the American Put
• Optimal stopping, free boundary, and American option in a jump-diffusion model
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Variational inequalities and the pricing of American options

Cited in

(2)

• A new approach for pricing discounted American options
• THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS¹

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