A New Analytical-Approximation Formula for the Optimal Exercise Boundary of American Put Options
By Song‐Ping Zhu. 2006
79 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/b25eae42ad9bbadbedfba6ee433c5852214ec641
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In Finance
Citations in the corpus
- Analytical and Numerical Methods for Pricing Financial Derivatives (2011, methodology): “In recent papers [125, 126], Zhu derived a closed form of the analytic approximation of the free boundary position in terms of an infinite parametric integral.”