Closed-form upper bounds for the optimal exercise boundary of American put
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | 변석준 | - |
| dc.date.accessioned | 2013-03-18T21:32:05Z | - |
| dc.date.available | 2013-03-18T21:32:05Z | - |
| dc.date.created | 2012-02-06 | - |
| dc.date.issued | 2006 | - |
| dc.identifier.citation | 한국산업응용수학회 학술대회, v., no., pp. - | - |
| dc.identifier.uri | http://hdl.handle.net/10203/152637 | - |
| dc.description.abstract | Kim (1990), Jacka (1991), and Carr, Jarrow, and Myneni (1992) showed that American option price is equal to the corresponding European option price plus an integral representing the early exercise premium. While the American option price has an explicit representation, the optimal exercise boundary is implicitly defined by a nonlinear integral equation. This article studies the properties of integral equations arising in the valuation of American options. Based on the properties of integral equations, this article also presents a series of closed form upper bounds for the optimal exercise boundary. | - |
| dc.language | ENG | - |
| dc.publisher | 한국산업응용수학회 | - |
| dc.title | Closed-form upper bounds for the optimal exercise boundary of American put | - |
| dc.type | Conference | - |
| dc.type.rims | CONF | - |
| dc.citation.publicationname | 한국산업응용수학회 학술대회 | - |
| dc.identifier.conferencecountry | South Korea | - |
| dc.identifier.conferencecountry | South Korea | - |
| dc.contributor.localauthor | 변석준 | - |
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