A PDE approximation approach for the optimal early exercise boundary of American put option

MaRDI QIDQ3598100zbMATH OpenFDO

Authors Dejun Xie

Publication date 30 January 2009

Full work available at URL http://pphmj.com/abstract/3623.htm

zbMATH Keywords

American put optionearly exercise boundaryPDE approximation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(9)

• On the integral relationship between the early exercise boundary and the value function of the American put option
• The early exercise boundary for the American put near expiry: Numerical approximation
• A second-order Nyström-type discretization for the early-exercise curve of American put options
• Optimal exercise of American put options near maturity: a new economic perspective
• An asymptotic computational method for the nonlinear weakly singular integral models in option pricing
• Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options
• On the optimal exercise boundary for an American put option
• Area estimation between the early exercise boundaries for the American put option with different local volatilities
• Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation

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