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The AMS, founded in 1888 to further the interests of mathematical research and scholarship, serves the national and international community through its publications, meetings, advocacy and other progr...
Comparison of numerical and analytical approximations of the early exercise boundary of the American put option
option pricing American put option early exercise bound-ary limiting behavior close to expiry
2010/2/4
In this paper we present qualitative and quantitative comparison of various analytical and numerical approximation methods for calculating a position of the early exercise boundary of the American put...