OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS NEAR EXPIRY
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Publication:3057465
DOI10.1017/S1446181110000052zbMath1202.91314MaRDI QIDQ3057465
Publication date: 24 November 2010
Published in: The ANZIAM Journal (Search for Journal in Brave)
91G60: Numerical methods (including Monte Carlo methods)
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work
- CRITICAL STOCK PRICE NEAR EXPIRATION
- American options on assets with dividends near expiry
- An exact and explicit solution for the valuation of American put options
- CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL
- An introduction to the mathematical theory of inverse problems