Transactions of the Japan Society for Industrial and Applied Mathematics
Online ISSN : 2424-0982
ISSN-L : 0917-2246
Approximations for the Early Exercise Boundary of American Options : A Review(Survey,<Special Topics>Activity Group "Mathematical Finance")
Toshikazu Kimura
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2014 Volume 24 Issue 3 Pages 275-292

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Abstract
This paper deals with American-style options written on dividend-paying assets. Specifically, our focus is on the early exercise boundary, which is an optimal level of critical asset value where early exercise occurs. From the view points of option holders in decision-making on optimal early exercise as well as option issuers in pricing options, we review various approximations previously developed for the early exercise boundary, and also we provide possible directions for future research.
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© 2014 The Japan Society for Industrial and Applied Mathematics
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