On the optimal exercise boundary for an American put option
An American put option is a derivative financial instrument that gives its holder the right but not the obligation to sell an underlying security at a pre-determined price. American options may be exercised at any time prior to expiry at the discretion of the holder, and the decision as to whether o...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2001-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/S1110757X01000018 |
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