American chooser options
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Publication:2271613
DOI10.1016/j.jedc.2008.05.004zbMath1170.91377OpenAlexW1965957329MaRDI QIDQ2271613
Jérôme B. Detemple, Thomas Emmerling
Publication date: 7 August 2009
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2008.05.004
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (4)
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps ⋮ American Strangle Options ⋮ MATHEMATICAL PROPERTIES OF AMERICAN CHOOSER OPTIONS ⋮ Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
Cites Work
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- Variational inequalities and the pricing of American options
- On the pricing of American options
- Evaluation of American strangles
- The valuation of American barrier options using the decomposition technique
- Optimal Stopping and the American Put
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- The Valuation of American Options on Multiple Assets
- THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS1
- Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
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