Add to ORKGThe difference between an American put option and its European counterpart has been characterized in terms of a simple integral expression which can be used to calculate the optimal exercise boundary in a recursive manner, if Black-Scholes dynamics are assumed for the underlying asset. In this paper we extend this formula to the case where a more general stock and cumulative dividend process are included, and show how this changes the properties of the optimal exercise boundary
Using a fast numerical technique, we investigate a large database of investor suboptimal nonexercise...
In this paper we analyze some problems arising in the evaluation of American options when the underl...
The behavior of the optimal exercise price of American puts near expiry has been well studied under ...
The difference between an American put option and its European counterpart has been characterized in...
We derive an integral equation for the early exercise boundary of an American put option under Black...
We analyze the regularity of the optimal exercise boundary for the American Put option when the unde...
We analyze the regularity of the optimal exercise boundary for the American Put option when the unde...
Based on option put-call parity relation, we derive model-free boundary conditions of option time va...
Kim (1990), Jacka (1991), and Carr, Jarrow, and Myneni (1992) showed that American option price is e...
The paper is focused on American option pricing problem. Assuming non-dividend paying American put o...
This paper investigates American puts on a dividend-paying underlying whose volatility is a function...
We present qualitative and quantitative comparisons of various analytical and numerical approximatio...
peer reviewedUsing a fast numerical technique, we investigate a large database of investors' subopti...
In this thesis, we prove that the optimal exercise boundary of the American put option is not convex...
In this paper we present qualitative and quantitative comparison of various analytical and numerical...
Using a fast numerical technique, we investigate a large database of investor suboptimal nonexercise...
In this paper we analyze some problems arising in the evaluation of American options when the underl...
The behavior of the optimal exercise price of American puts near expiry has been well studied under ...
The difference between an American put option and its European counterpart has been characterized in...
We derive an integral equation for the early exercise boundary of an American put option under Black...
We analyze the regularity of the optimal exercise boundary for the American Put option when the unde...
We analyze the regularity of the optimal exercise boundary for the American Put option when the unde...
Based on option put-call parity relation, we derive model-free boundary conditions of option time va...
Kim (1990), Jacka (1991), and Carr, Jarrow, and Myneni (1992) showed that American option price is e...
The paper is focused on American option pricing problem. Assuming non-dividend paying American put o...
This paper investigates American puts on a dividend-paying underlying whose volatility is a function...
We present qualitative and quantitative comparisons of various analytical and numerical approximatio...
peer reviewedUsing a fast numerical technique, we investigate a large database of investors' subopti...
In this thesis, we prove that the optimal exercise boundary of the American put option is not convex...
In this paper we present qualitative and quantitative comparison of various analytical and numerical...
Using a fast numerical technique, we investigate a large database of investor suboptimal nonexercise...
In this paper we analyze some problems arising in the evaluation of American options when the underl...
The behavior of the optimal exercise price of American puts near expiry has been well studied under ...