The implication of missing the optimal-exercise time of an American option
Year of publication: |
2015
|
---|---|
Authors: | Chockalingam, Arun ; Feng, Haolin |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 243.2015, 3, p. 883-896
|
Publisher: |
Elsevier |
Subject: | Finance | American options | Delaying exercise | Suboptimal exercise policy | Free boundary problem |
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