Early exercise boundaries for American-style knock-out options
From MaRDI portal
Publication:2183887
DOI10.1016/j.ejor.2020.02.006zbMath1441.91079OpenAlexW2969861555MaRDI QIDQ2183887
José Carlos Dias, João Pedro Ruas, João Pedro Vidal Nunes
Publication date: 27 May 2020
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2020.02.006
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
Geometric step options and Lévy models: duality, pides, and semi-analytical pricing ⋮ Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory ⋮ Demand uncertainty, product differentiation, and entry timing under spatial competition
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
- The Pricing of Options and Corporate Liabilities
- A Jump-Diffusion Model for Option Pricing
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- Arithmetic Brownian motion and real options
- Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- On the pricing of American options
- Martingales and stochastic integrals in the theory of continuous trading
- The valuation of American barrier options using the decomposition technique
- A barrier option of American type
- Real options in operations research: a review
- How real option disinvestment flexibility augments project NPV
- Fourier Cosine Expansions and Put–Call Relations for Bermudan Options
- The Valuation of American Options for a Class of Diffusion Processes
- Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
- Fourier space time-stepping for option pricing with Lévy models
- PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
- Optimal Stopping and the American Put
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Solving Nonlinear Equations with Newton's Method
- An explicit finite difference approach to the pricing of barrier options
- Changes of numéraire, changes of probability measure and option pricing
- The Variance Gamma Process and Option Pricing
- Symmetry and duality in Lévy markets
- Optimal stopping, free boundary, and American option in a jump-diffusion model
This page was built for publication: Early exercise boundaries for American-style knock-out options
