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An EHA strategic roadmap for improved care in Europe for AYA patients with malignant and chronic non-malignant hematological diseases. [PDF]

open access: yesHemasphere
Castleton A   +11 more
europepmc   +1 more source

Optimal exercise boundary for an American put option

open access: yesApplied Mathematical Finance, 1998
The optimal exercise boundary near the expiration time is determined for an American put option. It is obtained by using Green's theorem to convert the boundary value problem for the price of the option into an integral equation for the optimal exercise boundary. This integral equation is solved asymptotically for small values of the time to expiration.
Rachel A. Kuske, Joseph B. Keller
exaly   +3 more sources

Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions [PDF]

open access: yesSIAM Journal on Mathematical Analysis, 2009
In this paper we show that the optimal exercise boundary / free boundary of the American put option pricing problem for jump diffusions is continuously differentiable (except at the maturity). This differentiability result has been established by Yang et al.
Erhan Bayraktar, Hao Xing
exaly   +4 more sources
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A simple approximation formula for calculating theĀ optimal exercise boundary of American puts

Journal of Applied Mathematics and Computing, 2010
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Song-Ping Zhu
exaly   +4 more sources

Optimal exercise boundary via intermediate function with jump risk

Japan Journal of Industrial and Applied Mathematics, 2017
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yong-Ki Ma, Beom Jin Kim, Hi Jun Choe
exaly   +3 more sources

A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options

SIAM Journal on Mathematical Analysis, 2007
We study a free boundary problem arising from American put options. In particular we prove existence and uniqueness for this problem, and we derive and rigorously prove high order asymptotic expansions for the early exercise boundary near expiry. We provide four approximations for the boundary: one is explicit and is valid near expiry (weeks); two ...
Xinfu Chen, John Chadam
exaly   +2 more sources

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