Optimal exercise of American options under time-dependent Ornstein–Uhlenbeck processes
Author:
Affiliation:
1. Department of Quantitative Methods, CUNEF Universidad, Calle Pirineos, Madrid, Spain
2. Department of Mathematics ‘Tullio Levi Civita’, University of Padova, Italy
3. Department of Statistics, Universidad Carlos III de Madrid, Spain
Funder
The authors acknowledge
(first and second authors)
(third author)
Community of Madrid through the framework of the multi-year agreement with Universidad Carlos III de Madrid in its line of action ‘Excelencia para el Profesorado Universitario’
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2024.2325402
Reference59 articles.
1. Seasonality and the valuation of commodity options
2. The saga of the American put
3. On the theory of option pricing
4. The Pricing of Options and Corporate Liabilities
5. On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients
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