THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS1

DOI10.1111/J.1467-9965.1994.TB00061.XMaRDI QIDQ4372041zbMATH OpenOpenAlexFDO

Authors Marek Rutkowski

Publication date 21 January 1998

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1994.tb00061.x

zbMATH Keywords

American optionearly exercise premiumoptimal stoppingoption pricingRiesz decomposition

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

• The early exercise premium representation for American options on multiply assets
• A new form of the early exercise premium for American type derivatives
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• THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS
• Early exercise boundaries for American-style knock-out options
• Pricing American options by exercise rate optimization
• Pricing and exercising American options: an asymptotic expansion approach
• Robust pricing of the American put option: a note on Richardson extrapolation and the early exercise premium

Cites work

• A new approach to the skorohod problem, and its applications
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• Optimization Problems in the Theory of Continuous Trading

Cited in

(10)

• The valuation of American call options on the minimum of two dividend-paying assets
• Nonparametric estimation of American options' exercise boundaries and call prices
• Commodity spread option with cointegration
• A note on the never-early-exercise region of American power exchange options
• An FBSDE approach to American option pricing with an interacting particle method
• A new form of the early exercise premium for American type derivatives
• American chooser options
• The American put with finite‐time maturity and stochastic interest rate
• FX Open Forward
• The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate

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