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THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS - MaRDI portal

THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS (Q4555849)

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scientific article; zbMATH DE number 6983642
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English
THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS
scientific article; zbMATH DE number 6983642

    Statements

    title
    THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS (English)
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    publication date
    23 November 2018
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    zbMATH Keywords
    optimal stopping time
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    early exercise premium
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    American put option
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    European put option
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    semi-parametric method
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    nonparametric method
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    cites work
    Q4110059
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    Q5653410
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    Q3998409
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    Q3377936
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G40
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    62P05
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    62G08
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    zbMATH DE Number
    6983642
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    OpenAlex ID
    W2887718279
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