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Optimal exercise boundary for an American put option

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References

1994Option pricing: Mathematical models and computation805 cited
1990The Analytic Valuation of American Options580 cited
1976On optimal stopping and free boundary problems251 cited
1991Approximations for the values of american options146 cited
1995CRITICAL STOCK PRICE NEAR EXPIRATION137 cited

Cited by

2006A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS69 cited
2002On the Early Exercise Boundary of the American Put Option65 cited
2007CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET64 cited
2000QUADRATIC CONVERGENCE OF A PENALTY METHOD FOR VALUING AMERICAN OPTIONS64 cited
1999THE EARLY EXERCISE BOUNDARY FOR THE AMERICAN PUT NEAR EXPIRY: NUMERICAL APPROXIMATION58 cited
2000Nonparametric estimation of American options’ exercise boundaries and call prices57 cited
2004Convexity of the optimal stopping boundary for the American put option53 cited
2005THE BLACK‐SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS49 cited
2010Parametrix Approximation of Diffusion Transition Densities48 cited
2001Analysis of the free boundary for the pricing of an American call option

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47 cited

2011Analytical and Numerical Methods for Pricing Financial Derivatives46 cited

2009An explicit series approximation to the optimal exercise boundary of American put options39 cited

2009Static hedging and pricing American options39 cited

2004LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS36 cited

2008American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach33 cited

2000Laplace transforms and American options32 cited