THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS

DOI10.1142/S0219024918500395zbMath1417.91510OpenAlexW2887718279MaRDI QIDQ4555849

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Publication date: 23 November 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500395

zbMATH Keywords

optimal stopping timeearly exercise premiumAmerican put optionnonparametric methodsemi-parametric methodEuropean put option

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• gamair

Cites Work

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