scientific article; zbMATH DE number 797366
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Publication:4848526
zbMath0830.60037MaRDI QIDQ4848526
Publication date: 15 January 1996
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Related Items (14)
Approximation of American put prices by European prices via an embedding method. ⋮ Russian options with a finite time horizon ⋮ Optimal exercise of American put options near maturity: a new economic perspective ⋮ Exercise boundary of the American put near maturity in an exponential Lévy model ⋮ Critical price near maturity for an American option on a dividend-paying stock. ⋮ Regularity of the American put option in the Black-Scholes model with general discrete dividends ⋮ Optimal stopping for Brownian motion with applications to sequential analysis and option pricing ⋮ Convexity of the optimal stopping boundary for the American put option ⋮ American and European options in multi-factor jump-diffusion models, near expiry ⋮ Optimal stopping, free boundary, and American option in a jump-diffusion model ⋮ The Critical Price of the American Put Near Maturity in the Jump Diffusion Model ⋮ Error estimates for the binomial approximation of American put options ⋮ Optimal stopping problems in Lévy models with random observations ⋮ The American put is log-concave in the log-price
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