Continuity estimate of the optimal exercise boundary with respect to volatility for the American foreign exchange put option

MaRDI QIDQ4923699zbMATH OpenFDO

Authors Nasir Rehman, S. Hussain, Malkhaz Shashiashvili

Publication date 24 May 2013

zbMATH Keywords

volatilityvalue functionoptimal exercise boundaryforeign exchange option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

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Cited in

(4)

• Sensitivity analysis of the optimal exercise boundary of the American put option
• The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate
• Area estimation between the early exercise boundaries for the American put option with different local volatilities
• Continuity estimates with respect to volatility for the American foreign exchange option

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