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

DOI10.1016/J.CHAOS.2019.04.024zbMATH Open1448.91303OpenAlexW2939266853WikidataQ128015850 ScholiaQ128015850MaRDI QIDQ2213635FDOQ2213635

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

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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)

Cites Work

• Title not available (Why is that?)
• Optimal Stopping and the American Put
• Variational inequalities and the pricing of American options
• On the theory of option pricing
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• Free boundary and optimal stopping problems for American Asian options
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• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• 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
• Title not available (Why is that?)

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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