We consider the problem of finding optimal exercise policies for American options, both under constant and stochastic volatility settings. Rather than work with the usual equations that characterize the price exclusively, we derive and use boundary evolution equations that characterize the...

This paper derives explicit expressions to simulate theta and gamma for American options using the pathwise derivative method. While the pathwise derivative formulas for delta, rho, and vega of American options have been studied in the literature, no correct explicit results for theta and gamma...