2 papers
q-fin.PR2010
A unified approach to determining the early exercise boundary position at expiry for American style of general class of derivatives
Tomas Bokes
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…
q-fin.PR2009
Early exercise boundary for American type of floating strike Asian option and its numerical approximation
Tomas Bokes, Daniel Sevcovic
In this paper we generalize and analyze the model for pricing American-style Asian options due to (Hansen and Jorgensen 2000) by including a continuous dividend rate and a gene…