Kashif, Muhammad; Iftikhar, Syed Faizan; Iftikhar, Khurram - In: Financial innovation : FIN 2 (2016) 22, pp. 1-13
Background: This study develops a new model called J-am for pricing American options and for determining the related early exercise boundary (EEB). This model is based on a closed-form solution J-formula for pricing European options, defined in the study by Jerbi (Quantitative Finance,...
