On the optimal exercise boundary for an American put option

DOI10.1155/S1110757X01000018zbMath0976.91029MaRDI QIDQ5939023

Roland Mallier, Ghada Alobaidi

Publication date: 20 September 2001

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/48999

zbMATH Keywords

American optionsfree boundary

Mathematics Subject Classification ID

Related Items (5)

LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS ⋮ Exercisability Randomization of the American Option ⋮ Asymptotic analysis of shout options close to expiry ⋮ Installment options close to expiry ⋮ An explicit series approximation to the optimal exercise boundary of American put options

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