ZHU, SONG-PING; HE, ZHI-WEI - In: International Journal of Theoretical and Applied … 10 (2007) 07, pp. 1203-1227
Accurately as well as efficiently calculating the early exercise boundary is the key to the highly nonlinear problem of pricing American options. Many analytical approximations have been proposed in the past, aiming at improving the computational efficiency and the easiness of using the formula,...