Chung, San-Lin; Hung, Mao-Wei; Wang, Jr-Yan - In: Journal of Banking & Finance 34 (2010) 1, pp. 77-89
In contrast to the constant exercise boundary assumed by Broadie and Detemple (1996) [Broadie, M., Detemple, J., 1996. American option valuation: New bounds, approximations, and comparison of existing methods. Review of Financial Studies 9, 1211-1250], we use an exponential function to...
