A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Computational Mathematics,Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/S0036141003437708
Reference18 articles.
1. Exercise boundaries and efficient approximations to American option prices and hedge parameters
2. Efficient Analytic Approximation of American Option Values
3. Approximations for the values of american options
4. CRITICAL STOCK PRICE NEAR EXPIRATION
5. The American Put Option and Its Critical Stock Price
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