A note on American options with varying exercise price

DOI10.1017/S0334270000007566zbMATH Open0843.90014MaRDI QIDQ4868596FDOQ4868596

Paul Wilmott, J. N. Dewynne

Publication date: 5 May 1996

Published in: The Journal of the Australian Mathematical Society. Series B. Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

valuation of American options

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Cited In (2)

• Optimal exercise policies for call options and their valuation
• American options exercise boundary when the volatility changes randomly

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