Exercise boundary near maturity for an American option on several assets
DOI10.1080/07362994.2010.482826zbMATH Open1198.91205OpenAlexW2035327999MaRDI QIDQ3580103FDOQ3580103
Authors: Etienne Chevalier 
Publication date: 11 August 2010
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2010.482826
Recommendations
- Regularity of the free boundary of an American option on several assets
- On the optimal exercise boundary for an American put option
- On the behaviour near expiry for multi-dimensional American options
- American options on assets with dividends near expiry
- A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Optimal stochastic control (93E20)
Cites Work
- The valuation of American call options on the minimum of two dividend-paying assets
- Optimal Stopping and the American Put
- The Valuation of American Options on Multiple Assets
- Title not available (Why is that?)
- Variational inequalities and the pricing of American options
- Valuing American options by simulation: a simple least-squares approach
- The pricing of the American option
- Critical price near maturity for an American option on a dividend-paying stock.
- Exercise regions of American options on several assets
- Pricing American-style securities using simulation
- CRITICAL STOCK PRICE NEAR EXPIRATION
- On the behaviour near expiry for multi-dimensional American options
- CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL
Cited In (5)
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