Add to ORKGI show that the three-piece exponential boundary by Ju (1998) accurately 'tracks' the early exercise boundary. This results in more accurate option pricing than other comparable methods. Numerical results obtained in this paper agree that a multipiece exponential function approximation yields very accurate prices for short as well as moderate maturity put options. These results are partially at odds with previous research.MSC in Financ
Perhaps the biggest challenge for Monte Carlo methods is the accurate and efficient pricing of optio...
No analytical expression has been found for the optimal exercise boundary of finite maturity America...
The critical price S* (t) of an American put option is the underlying stock price level that trigger...
In contrast to the constant exercise boundary assumed by Broadie and Detemple (1996) [Broadie, M., D...
I address the dichotomy between American put option pricing theory and the numerical algorithms desi...
We present qualitative and quantitative comparisons of various analytical and numerical approximatio...
International audienceWe study the behavior of the critical price of an American put option near mat...
This paper deals with a new numerical method for the approximation of the early exercise boundary in...
The paper is focused on American option pricing problem. Assuming non-dividend paying American put o...
In this paper we present qualitative and quantitative comparison of various analytical and numerical...
ABSTRACT. It is well known [11] that the early exercise boundary for the American put approaches the...
Kim (1990), Jacka (1991), and Carr, Jarrow, and Myneni (1992) showed that American option price is e...
Under the (weak) assumption of a Markovian underlying price process, an alternative and intuitive ch...
In a Black and Scholes (1973) world I study the pricing performance of a closed-form lower bound to ...
We analyze American put options in a hyper-exponential jump-diffusion model. Our contribution is thr...
Perhaps the biggest challenge for Monte Carlo methods is the accurate and efficient pricing of optio...
No analytical expression has been found for the optimal exercise boundary of finite maturity America...
The critical price S* (t) of an American put option is the underlying stock price level that trigger...
In contrast to the constant exercise boundary assumed by Broadie and Detemple (1996) [Broadie, M., D...
I address the dichotomy between American put option pricing theory and the numerical algorithms desi...
We present qualitative and quantitative comparisons of various analytical and numerical approximatio...
International audienceWe study the behavior of the critical price of an American put option near mat...
This paper deals with a new numerical method for the approximation of the early exercise boundary in...
The paper is focused on American option pricing problem. Assuming non-dividend paying American put o...
In this paper we present qualitative and quantitative comparison of various analytical and numerical...
ABSTRACT. It is well known [11] that the early exercise boundary for the American put approaches the...
Kim (1990), Jacka (1991), and Carr, Jarrow, and Myneni (1992) showed that American option price is e...
Under the (weak) assumption of a Markovian underlying price process, an alternative and intuitive ch...
In a Black and Scholes (1973) world I study the pricing performance of a closed-form lower bound to ...
We analyze American put options in a hyper-exponential jump-diffusion model. Our contribution is thr...
Perhaps the biggest challenge for Monte Carlo methods is the accurate and efficient pricing of optio...
No analytical expression has been found for the optimal exercise boundary of finite maturity America...
The critical price S* (t) of an American put option is the underlying stock price level that trigger...