Search Results - subject:"exercise boundary"

Adaptive mesh relocation refinement on Kim's method : enhanced approximations and upper bounds for American options

Zeller, Thomas L.; Bozoudis, Michail - In: International journal of bonds and derivatives 3 (2017) 4, pp. 335-364

Persistent link: https://www.econbiz.de/10011877185

The British asset-or-nothing put option

Gao, Min - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-19

Persistent link: https://www.econbiz.de/10011687026

Efficient valuation and exercise boundary of American fractional lookback option in a mixed jump-diffusion model

Yang, Zhaoqiang - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-29

Persistent link: https://www.econbiz.de/10011778276

Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function

Grossinho, Maria do Rosário; Kord, Yaser; Ševčovič, … - In: Asia-Pacific financial markets 24 (2017) 4, pp. 291-308

Persistent link: https://www.econbiz.de/10011797690

Integral representation of vega for American put options

Liu, Yanchu; Cui, Zhenyu; Zhang, Ning - In: Finance research letters 19 (2016), pp. 204-208

Persistent link: https://www.econbiz.de/10011657637

The British Asian Option

Glover, Kristoffer; Peskir, Goran; Samee, Farman - Finance Discipline Group, Business School - 2009

a closed form expression for the arbitrage-free price in terms of the rational exercise boundary and show that the … rational exercise boundary itself can be characterised as the unique solution to a nonlinear integral equation. Using these … expression for the arbitrage-free price in terms of the rational exercise boundary and show that the rational ex- ercise boundary …

Persistent link: https://www.econbiz.de/10004984481

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