CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA
Year of publication: |
2007
|
---|---|
Authors: | ZHU, SONG-PING ; HE, ZHI-WEI |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 10.2007, 07, p. 1203-1227
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Optimal exercise boundary | American put options | analytical approximations |
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