Exercise boundary near maturity for an American option on several assets

DOI10.1080/07362994.2010.482826MaRDI QIDQ3580103zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

free boundaryoptimal stoppingvariational inequalityAmerican options

Mathematics Subject Classification ID

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)

Recommendations

• Regularity of the free boundary of an American option on several assets
• On the optimal exercise boundary for an American put option
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Cites work

• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL
• CRITICAL STOCK PRICE NEAR EXPIRATION
• Critical price near maturity for an American option on a dividend-paying stock.
• Exercise regions of American options on several assets
• On the behaviour near expiry for multi-dimensional American options
• Optimal Stopping and the American Put
• Pricing American-style securities using simulation
• The Valuation of American Options on Multiple Assets
• The pricing of the American option
• The valuation of American call options on the minimum of two dividend-paying assets
• Valuing American options by simulation: a simple least-squares approach
• Variational inequalities and the pricing of American options

Cited in

(5)

• scientific article; zbMATH DE number 6769072 (Why is no real title available?)
• On the behaviour near expiry for multi-dimensional American options
• Early exercise boundaries for American-style knock-out options
• Exercise regions of American options on several assets
• American options exercise boundary when the volatility changes randomly

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