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The early exercise premium in American put option prices · Study

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ArticleThe early exercise premium in American put option prices

Malin Engström2000

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The early exercise premium in American put option prices

Malin Engström · Lars L. Nordén

18 citations·0/0 files stored·Journal of Multinational Financial Management

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1979Option pricing: A simplified approach 1977Options: A Monte Carlo approach 1987Efficient Analytic Approximation of American Option Values 1984The American Put Option Valued Analytically 1977THE VALUATION OF AMERICAN PUT OPTIONS

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2007The value of shorting

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2003On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivativesarticle · 12 shared references 2001On the Robustness of Least-Squares Monte Carlo (Lsm) for Pricing American Derivativespreprint · 12 shared references 1997Recent Advances in Numerical Methods for Pricing Derivative Securitieschapter · 11 shared references 1992Options and Futures: A Tutorialbook · 11 shared references 2006Closed-form valuation of American call options on stocks paying multiple dividendsarticle · 11 shared references 1987Efficient Analytic Approximation of American Option Valuesarticle · 10 shared references

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Year2000

Typearticle

Published2000-12-01

VenueJournal of Multinational Financial Management

ISSN-L1042-444X

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s1042-444x(00)00025-6

openalex_workW2004512089

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