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A simple approximation formula for calculating the optimal exercise boundary of American puts

Journal Article


Abstract


Publication Date


  • 2011

Citation


  • Zhu, S. (2011). A simple approximation formula for calculating the optimal exercise boundary of American puts. Journal of Applied Mathematics and Computing, 37 (1-2), 611-623.

Scopus Eid


  • 2-s2.0-80052628915

Ro Metadata Url


  • http://ro.uow.edu.au/infopapers/2617

Has Global Citation Frequency


Number Of Pages


  • 12

Start Page


  • 611

End Page


  • 623

Volume


  • 37

Issue


  • 1-2

Place Of Publication


  • Germany

Abstract


Publication Date


  • 2011

Citation


  • Zhu, S. (2011). A simple approximation formula for calculating the optimal exercise boundary of American puts. Journal of Applied Mathematics and Computing, 37 (1-2), 611-623.

Scopus Eid


  • 2-s2.0-80052628915

Ro Metadata Url


  • http://ro.uow.edu.au/infopapers/2617

Has Global Citation Frequency


Number Of Pages


  • 12

Start Page


  • 611

End Page


  • 623

Volume


  • 37

Issue


  • 1-2

Place Of Publication


  • Germany