A new form of the early exercise premium for American type derivatives

DOI10.1016/j.chaos.2019.04.024zbMath1448.91303OpenAlexW2939266853WikidataQ128015850 ScholiaQ128015850MaRDI QIDQ2213635

Tsvetelin S. Zaevski

Publication date: 2 December 2020

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2019.04.024

zbMATH Keywords

free boundarystopping timesearly exercise premiumAmerican derivatives

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

A new approach for pricing discounted American options

Cites Work

• Variational inequalities and the pricing of American options
• On the theory of option pricing
• Free boundary and optimal stopping problems for American Asian options
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Optimal stopping, free boundary, and American option in a jump-diffusion model
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