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

zbMATH Open1274.91439MaRDI QIDQ4923699FDOQ4923699

Authors: Nasir Rehman, S. Hussain, Malkhaz Shashiashvili 

Publication date: 24 May 2013

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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)

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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