Optimal exercise of American put options near maturity: A new economic perspective
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DOI: 10.1007/s11147-021-09180-w
Abstract: The critical price $$S^{*}\left( t\right) $$ S ∗ t of an American put option is the underlying stock price level that triggers its immediate optimal exercise. We provide a new perspective on the determination of… read more here.
Keywords: put; critical price; price; american put ... See more keywords