Results 241 to 250 of about 4,384,562 (254)

Constructing the Optimal Exercise Boundary for American Options by Least-Squares Monte Carlo

SSRN Electronic Journal, 2008
openaire   +1 more source

CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET

Mathematical Finance, 2008
Xinfu Chen, Weian Zheng, John Chadam
exaly  

High-precision numerical computation for the optimal exercise boundary of American put option

Japan Journal of Industrial and Applied Mathematics
Yasumasa Sugita, Kenta Kobayashi
openaire   +1 more source

NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND-PAYING ASSET

Mathematical Finance, 2013
Xinfu Chen, John Chadam
exaly  

Asymptotic behavior of optimal exercise strategy for a small number of executive stock options

Journal of Mathematical Analysis and Applications, 2019
Cong Qin, Xinfu Chen
exaly  

Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends

SIAM Journal on Financial Mathematics, 2011
B Jourdain
exaly  

Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method

Journal of Risk and Financial Management, 2019
Lars Stentoft, Pascal Létourneau
exaly  

A closed-form exact solution for the value of American put and its optimal exercise boundary (Invited Paper)

SPIE Proceedings, 2005
openaire   +1 more source

The Early Exercise Boundary Under the Jump to Default Extended CEV Model

Applied Mathematics and Optimization, 2018
João Pedro Vidal Nunes, José Carlos Dias   +1 more
exaly  

Numerical Determination of Time-Dependent Volatility for American Option When the Optimal Exercise Boundary Is Known

Miglena N. Koleva, Lubin G. Vulkov
openaire   +2 more sources