Jerbi, Yacin - In: Financial innovation : FIN 2 (2016) 21, pp. 1-26
early exercise boundary (EEB). This model is based on a closed-form solution J-formula for pricing European options, defined … option context. The aforesaid function f represents the cash flows resulting from an early exercise of the option. Methods …: This study develops the theoretical formulas of the early exercise premium value related to three American option pricing …