Optimal Stopping and the American Put

By S. Jacka. 1991

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Citations in the corpus

Learning When-to-Treat Policies (2019, methodology): “Finally, in the optimal stopping literature (e.g., Van Moerbeke 1976; Jacka 1991; Mordecki 2002; Goel, Dann, and Brunskill 2017), the treatment choices are binary, and the goal is to optimize for a policy for when to start or stop a treatment.”
Option Pricing: Valuation Models and Applications (2004, unknown): “The variational inequality approach for pricing American claims is developed in Jaillet et al. (1990). Mathematical treatises on the method can be found in Bensoussan and Lions (1978) and Kinderlehrer and Stampacchia (1980).”
Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy (2001, unknown): “The proofs, in Appendix 1, are inspired by the analysis of Jacka (1991). The value of the bond with an embedded option is”
On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives (2007, unknown): “For instance, Kim (1990), Jacka (1991) and Carr et al. (1992) decompose the price of an American put into the price of an European put option plus the early exercise premium.”
Evaluation of American strangles (2002, background): “and the transformed free boundaries are given by # A # &% # A % & The new initial and boundary conditions are +% A & ')( ' +% 3 & ')( ( +% (10) -$# A # ) * + (11) -$# A # ) * + (12) ,.”
Optimal stopping under ambiguity in continuous time (2013, background): “, Jacka (1991), Peskir and Shiryaev (2006), usw.)(14). On the other hand, under our assumptions, the value function is smooth enough to allow for generalized derivatives; moreover, the value function is also smooth enough for an application of Itô’s formula. We refer to Krylov (1980), Chapter 4.7, T”
Compact finite difference method for American option pricing (2007, background): “Kim [25], Jacka [20] and Carr et al.”
Some optimal stopping problems with nontrivial boundaries for pricing exotic options (2001, unknown): “[4], [5], [7], [8], [12] and the references therein).”
The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope (2007, unknown): “We develop general path-dependent heuristics for the formula in [5,16,19,24].”
The saga of the American put (2005, background): “The original statements of the American put problem are in the work of Samuelson (1967) and McKean (1967) and Van Moerbeke (1974).”
A New Analytical-Approximation Formula for the Optimal Exercise Boundary of American Put Options (2006, methodology): “…Barone-Adesi and Whaley (1987)), the interpolation method (Johnson (1983)), the capped option approximation (Broadie and Detemple (1996)), the randomization approach (Carr (1998)) and the integral-equation method (Kim (1990), Jacka (1991), Carr et al. (1992), Huang et al. (1996), Ju (1998)).”
The trap of complacency in predicting the maximum. (2007, background): “Such an approach dates back to Kolodner [12] in a general context, while a particularly simple way of demonstrating these identities in the case of the American put problem (with one boundary) has been suggested in [2], [8] and [11].”