Search Results - subject:"exercise boundary"

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

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 …

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

Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy

Acharya, Viral V; Carpenter, Jennifer - C.E.P.R. Discussion Papers - 2002

This Paper analyses corporate bond valuation and optimal call and default rules when interest rates and firm value are stochastic. It then uses the results to explain the dynamics of hedging. Bankruptcy rules are important determinants of corporate bond sensitivity to interest rates and firm...

Persistent link: https://www.econbiz.de/10005123555

Laplace transforms and American options

Mallier, Roland; Alobaidi, Ghada - In: Applied Mathematical Finance 7 (2000) 4, pp. 241-256

, and to derive integral equations giving the location of the optimal exercise boundary. In each case studied, the main …

Persistent link: https://www.econbiz.de/10005495379

Optimal exercise boundary for an American put option

Kuske, Rachel; Keller, Joseph - In: Applied Mathematical Finance 5 (1998) 2, pp. 107-116

The optimal exercise boundary near the expiration time is determined for an American put option. It is obtained by … optimal exercise boundary. This integral equation is solved asymptotically for small values of the time to expiration. The …

Persistent link: https://www.econbiz.de/10005279067