The implication of missing the optimal-exercise time of an American option

DOI10.1016/j.ejor.2014.12.011zbMath1346.91228OpenAlexW2058308088MaRDI QIDQ319234

Haolin Feng, Arunachalam Chockalingam

Publication date: 6 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2014.12.011

zbMATH Keywords

free boundary problemAmerican optionsfinancedelaying exercisesuboptimal exercise policy

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• Generalized autoregressive conditional heteroscedasticity
• A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
• New insights on testing the efficiency of methods of pricing and hedging American options
• A moving boundary approach to American option pricing
• American Options Under Stochastic Volatility
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Option pricing when underlying stock returns are discontinuous
• The representation of American options prices under stochastic volatility and jump-diffusion dynamics

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