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The Early Exercise Boundary behavior at expiry for American style of derivative
The Early Exercise Boundary behavior American style derivative
2011/1/4
In this paper, we present a new method for calculating the limit of early exercise boundary at expiry. We price American style of general derivative using a formula expressed as a sum of the value of ...
Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
Max-Plus decomposition supermartingales convex order Application American options portfolio insurance
2010/12/17
We are concerned with a new type of supermartingale decomposition in the Max-Plus algebra, which essentially consists in expressing any supermartingale of class $(\mathcal{D})$ as a conditional expec...
On perpetual American put valuation and first-passage in a regime-switching model with jumps
perpetual American valuation first-passage regime-switching model jumps
2010/12/17
In this paper we consider the problem of pricing a perpetual American put option in an exponential regime-switching L\'{e}vy model. For the case of the (dense) class of phase-type jumps and finitely ...
Organized in 1919, the North American Securities Administrators Association (NASAA) is the oldest international organization devoted to investor protection. NASAA is a voluntary association whose memb...
The American Finance Association (AFA)
Finance 金融
2007/12/19
The American Finance Association (AFA) is the premier academic organization devoted to the study and promotion of knowledge about financial economics. The Association has officers and a board of direc...