underlying stock is stochastic. By exploiting a log-linear relationship of the optimal exercise boundary with respect to … based on an approximation of the optimal exercise boundary by Chebyshev polynomials. Numerical results show that our …

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 …

This paper extends the concept of the exercise boundary as an analytical tool in determining when an optimizing agent …

Accurately as well as efficiently calculating the early exercise boundary is the key to the highly nonlinear problem of …

concerning the currency option value as well as the exercise boundary are obtained with a martingale approach. With possible … discontinuities of the underlying process at the exercise boundary (i.e. with positive jumps in the call case), original results are … good results only when the process is continuous at the exercise boundary. …