The early exercise premium in American options by using nonparametric regressions
Weiping Li, Su Chen
| Year of publication: |
November 2018
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|---|---|
| Authors: | Li, Weiping ; Chen, Su |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 7, p. 1-29
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| Subject: | Optimal stopping time | early exercise premium | American put option | European put option | semi-parametric method | nonparametric method | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Nichtparametrisches Verfahren | Nonparametric statistics | Suchtheorie | Search theory | Black-Scholes-Modell | Black-Scholes model | Monte-Carlo-Simulation | Monte Carlo simulation | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024918500395 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011956935