PENALTY AMERICAN OPTIONS

DOI10.1142/S0219024919500018zbMath1411.91566OpenAlexW2909635129MaRDI QIDQ4631697

Ziwei Ke, Joanna M. Goard

Publication date: 18 April 2019

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

Full work available at URL: https://doi.org/10.1142/s0219024919500018

zbMATH Keywords

option pricingoptimal exercise boundarypenalty American option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Installment options close to expiry
• CRITICAL STOCK PRICE NEAR EXPIRATION
• American options on assets with dividends near expiry
• The Mathematics of Financial Derivatives
• PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD

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