Analysis of the optimal exercise boundary of American put options with delivery lags
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Publication:1996330
DOI10.1016/J.JMAA.2020.124916zbMath1458.91212arXiv1805.02909OpenAlexW3121839435MaRDI QIDQ1996330
Publication date: 4 March 2021
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1805.02909
asymptotic behaviorfree boundaryoptimal exercise boundaryearly exercise premium decompositionmake-your-mind-up option
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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