Exercise boundaries and efficient approximations to American option prices and hedge parameters

By F. AitSahlia, Tze Leung Lai. 2000

49 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/732c1fdabe0a60776107102c43b3f06d20372d27

How researchers see this paper

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In Finance

1. Carl Chiarella
2. Andrew Ziogas
3. Xue-zhong He
4. Cars H. Hommes
5. Roberto Dieci
6. Youwei Li

Citations in the corpus

• Evaluation of American strangles (2002, methodology): “Diagram 1: Continuation Region in S-space Continuation Region # $ % & ')( * +% & ,.- +% Stopping Region / % Stopping Region 0 # 0 # % It is known that satisfies the Black-Scholes PDE:1!”