Evaluating approximations to the optimal exercise boundary for American options
We consider series solutions for the location of the optimal exercise boundary of an American option close to expiry. By using Monte Carlo methods, we compute the expected value of an option if the holder uses the approximate location given by such a series as his exercise strategy, and compare this...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2002-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/S1110757X02000268 |
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