The early exercise premium in American options by using nonparametric regressions

DOI10.1142/S0219024918500395MaRDI QIDQ4555849zbMATH OpenOpenAlexFDO

Authors

Publication date 23 November 2018

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024918500395

zbMATH Keywords

early exercise premiumoptimal stopping timeAmerican put optionnonparametric methodsemi-parametric methodEuropean put option

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

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Cited in

(4)

• A new form of the early exercise premium for American type derivatives
• THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS¹
• Nonparametric estimation of American options' exercise boundaries and call prices
• On a neural network to extract implied information from American options

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