Exercise Boundary Near Maturity for an American Option on Several Assets

DOI10.1080/07362994.2010.482826zbMath1198.91205OpenAlexW2035327999MaRDI QIDQ3580103

Etienne Chevalier

Publication date: 11 August 2010

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2010.482826

zbMATH Keywords

variational inequalityoptimal stoppingAmerican optionsfree boundary

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) Optimal stopping in statistics (62L15)

Cites Work

• Unnamed Item
• Variational inequalities and the pricing of American options
• The pricing of the American option
• Pricing American-style securities using simulation
• Critical price near maturity for an American option on a dividend-paying stock.
• The valuation of American call options on the minimum of two dividend-paying assets
• Exercise regions of American options on several assets
• On the behaviour near expiry for multi-dimensional American options
• CRITICAL STOCK PRICE NEAR EXPIRATION
• Optimal Stopping and the American Put
• The Valuation of American Options on Multiple Assets
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL

This page was built for publication: Exercise Boundary Near Maturity for an American Option on Several Assets