Results 11 to 20 of about 4,384,562 (254)
On the optimal exercise boundary for an American put option [PDF]
Journal of Applied Mathematics, 2001 An American put option is a derivative financial instrument that gives its holder the right but not the obligation to sell an underlying security at a pre-determined price.
Ghada Alobaidi, Roland Mallier
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Evaluating approximations to the optimal exercise boundary for American options [PDF]
Journal of Applied Mathematics, 2002 We consider series solutions for the location of the optimal exercise boundary of an American option close to expiry. By using Monte Carlo methods, we compute the expected value of an option if the holder uses the approximate location given by such a ...
Roland Mallier
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A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
International Journal of Theoretical and Applied Finance, 2006 In this paper, a new analytical formula as an approximation to the value of American put options and their optimal exercise boundary is presented. A transform is first introduced to better deal with the terminal condition and, most importantly, the optimal exercise price which is an unknown moving boundary and the key reason that valuing American ...
Song-Ping Zhu (19586596)
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On the Optimal Exercise Boundaries of Swing Put Options [PDF]
Mathematics of Operations Research, 2018 We use probabilistic methods to characterise time-dependent optimal stopping boundaries in a problem of multiple optimal stopping on a finite time horizon. Motivated by financial applications, we consider a payoff of immediate stopping of “put” type, and the underlying dynamics follows a geometric Brownian motion.
Tiziano De Angelis, Yerkin Kitapbayev
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CLOSED FORM OPTIMAL EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION [PDF]
International Journal of Theoretical and Applied Finance, 2020 We present three models of stock price with time-dependent interest rate, dividend yield, and volatility, respectively, that allow for explicit forms of the optimal exercise boundary of the finite maturity American put option. The optimal exercise boundary satisfies the nonlinear integral equation of Volterra type.
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Filomat, 2021 In this paper, we discuss the Banach fixed point theorem conditions on the optimal exercise boundary of American put option paying continuously dividend yield, to investigate whether its existence, uniqueness, and convergence are derived. In this respect, we consider the integral representation of the optimal exercise boundary which is ...
Davood Ahmadian +3 more
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Optimal wave packets in a boundary layer and initial phases of a turbulent spot [PDF]
, 2010 The three-dimensional global optimal dynamics of a flat-plate boundary layer is studied by means of an adjoint-based optimization in a spatial domain of long – but finite – streamwise dimension. The localized optimal initial perturbation is characterized
DE PALMA, Pietro +6 more
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NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET [PDF]
Mathematical Finance, 2012 We prove that when the dividend rate of the underlying asset following a geometric Brownian motion is slightly larger than the risk‐free interest rate, the optimal exercise boundary of the American put option is not convex.
Chen, Xinfu, Cheng, Huibin, Chadam, John
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The minimal seed of turbulent transition in the boundary layer [PDF]
, 2011 This paper describes a scenario of transition from laminar to turbulent flow in a spatially developing boundary layer over a flat plate. The base flow is the Blasius non-parallel flow solution; it is perturbed by optimal disturbances yielding the largest
DE PALMA, Pietro +8 more
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Nonlinear control of unsteady finite-amplitude perturbations in the Blasius boundary-layer flow [PDF]
, 2013 The present work provides an optimal control strategy, based on the nonlinear Navier–Stokes equations, aimed at hampering the rapid growth of unsteady finite-amplitude perturbations in a Blasius boundary-layer flow.
DE PALMA, Pietro +2 more
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