The implication of missing the optimal-exercise time of an American option
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Publication:319234
DOI10.1016/j.ejor.2014.12.011zbMath1346.91228OpenAlexW2058308088MaRDI QIDQ319234
Haolin Feng, Arunachalam Chockalingam
Publication date: 6 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2014.12.011
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Cites Work
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- Generalized autoregressive conditional heteroscedasticity
- A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
- New insights on testing the efficiency of methods of pricing and hedging American options
- A moving boundary approach to American option pricing
- American Options Under Stochastic Volatility
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- The Variance Gamma Process and Option Pricing
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Option pricing when underlying stock returns are discontinuous
- The representation of American options prices under stochastic volatility and jump-diffusion dynamics
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