Search Results - subject:"Early exercise boundary"

Boundary evolution equations for American options

Mitchell, Daniel; Goodman, Jonathan; Muthuraman, Kumar - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 505-532

Persistent link: https://www.econbiz.de/10010486015

A Comparative Study of American Option Valuation and Computation

Rodolfo, Karl - 2007

pricing methods. Further comparison is made tothe behaviour of the American option's early exercise boundary with otherpricing …

Persistent link: https://www.econbiz.de/10009480117

Pricing and static hedging of American-style options under the jump to default extended CEV model

Ruas, João Pedro; Dias, José Carlos; Nunes, Vidal; … - In: Journal of Banking & Finance 37 (2013) 11, pp. 4059-4072

(1975), using different elasticity parameter values. Second, the early exercise boundary near expiration is derived under …

Persistent link: https://www.econbiz.de/10010703267

Pricing and static hedging of American-style options under the jump to default extended CEV model

Ruas, João Pedro; Dias, José Carlos; Nunes, Joaõ … - In: Journal of banking & finance 37 (2013) 11, pp. 4059-4072

Persistent link: https://www.econbiz.de/10010244898

Pricing American options under stochastic volatility: A new method using Chebyshev polynomials to approximate the early exercise boundary

Tzavalis, Elias; Wang, Shijun - 2003

This paper presents a new numerical method for pricing American call options when the volatility of the price of the underlying stock is stochastic. By exploiting a log-linear relationship of the optimal exercise boundary with respect to volatility changes, we derive an integral representation...

Persistent link: https://www.econbiz.de/10010284217

Binomial bias in pricing and early exercising American put options

Goldenberg, David H. - In: International Journal of Financial Markets and Derivatives 1 (2010) 3, pp. 274-306

the early exercise boundary (Lamberton, 1993). I show that, in addition to the non-linearity and distribution errors … recognised in the literature, the algorithm systematically misprices the early exercise boundary. While convergence to the true …

Persistent link: https://www.econbiz.de/10008755240

Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary

Tzavalis, Elias; Wang, Shijun - School of Economics and Finance, Queen Mary - 2003

Persistent link: https://www.econbiz.de/10005106439