The DOI matches its Crossref record; 5 of the 5 references it cites were found in a registry or an index.
Optimal Stopping and the American Put
Abstract
We show that the problem of pricing the American put is equivalent to solving an optimal stopping problem. the optimal stopping problem gives rise to a parabolic free‐boundary problem. We show there is a unique solution to this problem which has a lower boundary. We identify an integral equation solved by the boundary and show that it is the unique solution to this equation satisfying certain natural additional conditions. the proofs also give a natural decomposition of the price of the American option as the sum of the price of the European option and an “American premium.”
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Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Stochastic Differential Equations and Applications
(1976) · Elsevier eBooks · doi:10.1016/c2013-0-07333-1 · Cited by 1,375
The Analytic Valuation of American Options
Kim, I. J. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.4.547 · Cited by 580
On the pricing of American options
Karatzas, I. (1988) · Applied Mathematics & Optimization · doi:10.1007/bf01448358 · Cited by 382
On the theory of option pricing
Bensoussan, A. (1984) · Acta Applicandae Mathematicae · doi:10.1007/bf00046576 · Cited by 287
Cited by
A decision-theoretic generalization of on-line learning and an application to boosting
Freund, Y., & Schapire, R. E. (1997) · Journal of Computer and System Sciences · doi:10.1006/jcss.1997.1504 · Cited by 20,466
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
Carr, P., Jarrow, R., & Myneni, R. (1992) · Mathematical Finance · doi:10.1111/j.1467-9965.1992.tb00040.x · Cited by 478
Metadata
- Authors
- Jacka, S. D.
- Venue
- Mathematical Finance
- Publisher
- Wiley
- Published
- 1991-04
- Volume
- 1
- Issue
- 2
- Pages
- 1-14
- ISSN
- 0960-1627 (ISSN-L)
- 1467-9965
- OpenAlex
- W2151078973
- Cited by
- 513
- References
- 5
- FWCI
- 8.74
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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