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OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS NEAR EXPIRY - MaRDI portal

OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS NEAR EXPIRY (Q3057465)

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OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS NEAR EXPIRY
scientific article

    Statements

    title
    OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS NEAR EXPIRY (English)
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    author
    Wen-Ting Chen
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    Song-Ping Zhu
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    publication date
    24 November 2010
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    zbMATH Keywords
    American put option
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    local volatility model
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    singular perturbation
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    optimal exercise price
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G80
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    91G60
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    zbMATH DE Number
    5819121
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