American put options with a finite set of exercisable time epochs
type: Item
instance of: scholarly article
title: American put options with a finite set of exercisable time epochs
zbMATH Open document ID: 0838.90015
DOI: 10.1016/0895-7177(95)00185-5
author: Masaaki Kijima
author: Hideki Iwaki
author: Toshihiro Yoshida
published in: Mathematical and Computer Modelling
publication date: 1996-02-12T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 90C39
zbMATH DE Number: 836468
zbMATH Keywords: no arbitrage pricing
zbMATH Keywords: multivariate normal distribution
zbMATH Keywords: Slepian's inequality
zbMATH Keywords: American put option
zbMATH Keywords: discrete-time Markov process
MaRDI profile type: Publication
full work available at URL: 0895-7177(95)00185-5
OpenAlex ID: W2013996226
cites work: Q4905685
cites work: On the theory of option pricing
cites work: On the pricing of American options
cites work: Option pricing: A simplified approach
cites work: ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
cites work: Martingales and arbitrage in multiperiod securities markets
cites work: Q3903756
cites work: Difference Approximations to Control Problems with Functional Arguments
cites work: The pricing of the American option
Recommended article: The American put with finite‐time maturity and stochastic interest rate
Recommended article: On the optimal exercise boundary for an American put option
Recommended article: American options under periodic exercise opportunities
Recommended article: American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach
Recommended article: DISCRETE TIME HEDGING OF THE AMERICAN OPTION
Recommended article: Optimal exercise of American put options near maturity: a new economic perspective
Recommended article: An implicit scheme for American put options
Recommended article: An explicit series approximation to the optimal exercise boundary of American put options
Recommended article: On the Early Exercise Boundary of the American Put Option
Recommended article: Empirical pricing American put options
description: scientific article; zbMATH DE number 836468