Matches in SemOpenAlex for { <https://semopenalex.org/work/W93554790> ?p ?o ?g. }
Showing items 1 to 89 of
89
with 100 items per page.
- W93554790 endingPage "654" @default.
- W93554790 startingPage "650" @default.
- W93554790 abstract "American options valuation leads to solve an optimal stopping problem or a variational inequality. These two approaches involve the knowledge of a free boundary, boundary of the so-called exercise region. Numerical methods exist to solve this kind of problems but these methods are not very efficient in high dimension because some information on the free boundary is needed. To improve our knowledge of the value function near its exercise region, we give here a lower bound for the difference between the value function and the pay-off function near the free boundary. This result can be used, for instance, to get some estimation for the convergence rate of the Bermudean option exercise region to the American one." @default.
- W93554790 created "2016-06-24" @default.
- W93554790 creator A5029470908 @default.
- W93554790 date "2008-01-01" @default.
- W93554790 modified "2023-09-23" @default.
- W93554790 title "On the American Option Value Near its Exercise Region" @default.
- W93554790 cites W1498143389 @default.
- W93554790 cites W1963748947 @default.
- W93554790 cites W2025218455 @default.
- W93554790 cites W204533568 @default.
- W93554790 cites W2065956202 @default.
- W93554790 cites W2073001881 @default.
- W93554790 cites W2126311658 @default.
- W93554790 doi "https://doi.org/10.1007/978-3-540-71992-2_108" @default.
- W93554790 hasPublicationYear "2008" @default.
- W93554790 type Work @default.
- W93554790 sameAs 93554790 @default.
- W93554790 citedByCount "0" @default.
- W93554790 crossrefType "book-chapter" @default.
- W93554790 hasAuthorship W93554790A5029470908 @default.
- W93554790 hasConcept C10138342 @default.
- W93554790 hasConcept C105795698 @default.
- W93554790 hasConcept C114614502 @default.
- W93554790 hasConcept C126255220 @default.
- W93554790 hasConcept C134306372 @default.
- W93554790 hasConcept C14036430 @default.
- W93554790 hasConcept C144237770 @default.
- W93554790 hasConcept C14646407 @default.
- W93554790 hasConcept C154416045 @default.
- W93554790 hasConcept C161999928 @default.
- W93554790 hasConcept C162118730 @default.
- W93554790 hasConcept C162324750 @default.
- W93554790 hasConcept C182310444 @default.
- W93554790 hasConcept C186027771 @default.
- W93554790 hasConcept C2776291640 @default.
- W93554790 hasConcept C2777303404 @default.
- W93554790 hasConcept C2778311368 @default.
- W93554790 hasConcept C28826006 @default.
- W93554790 hasConcept C33676613 @default.
- W93554790 hasConcept C33923547 @default.
- W93554790 hasConcept C50522688 @default.
- W93554790 hasConcept C62354387 @default.
- W93554790 hasConcept C78458016 @default.
- W93554790 hasConcept C86803240 @default.
- W93554790 hasConcept C99414536 @default.
- W93554790 hasConceptScore W93554790C10138342 @default.
- W93554790 hasConceptScore W93554790C105795698 @default.
- W93554790 hasConceptScore W93554790C114614502 @default.
- W93554790 hasConceptScore W93554790C126255220 @default.
- W93554790 hasConceptScore W93554790C134306372 @default.
- W93554790 hasConceptScore W93554790C14036430 @default.
- W93554790 hasConceptScore W93554790C144237770 @default.
- W93554790 hasConceptScore W93554790C14646407 @default.
- W93554790 hasConceptScore W93554790C154416045 @default.
- W93554790 hasConceptScore W93554790C161999928 @default.
- W93554790 hasConceptScore W93554790C162118730 @default.
- W93554790 hasConceptScore W93554790C162324750 @default.
- W93554790 hasConceptScore W93554790C182310444 @default.
- W93554790 hasConceptScore W93554790C186027771 @default.
- W93554790 hasConceptScore W93554790C2776291640 @default.
- W93554790 hasConceptScore W93554790C2777303404 @default.
- W93554790 hasConceptScore W93554790C2778311368 @default.
- W93554790 hasConceptScore W93554790C28826006 @default.
- W93554790 hasConceptScore W93554790C33676613 @default.
- W93554790 hasConceptScore W93554790C33923547 @default.
- W93554790 hasConceptScore W93554790C50522688 @default.
- W93554790 hasConceptScore W93554790C62354387 @default.
- W93554790 hasConceptScore W93554790C78458016 @default.
- W93554790 hasConceptScore W93554790C86803240 @default.
- W93554790 hasConceptScore W93554790C99414536 @default.
- W93554790 hasLocation W935547901 @default.
- W93554790 hasOpenAccess W93554790 @default.
- W93554790 hasPrimaryLocation W935547901 @default.
- W93554790 hasRelatedWork W10520729 @default.
- W93554790 hasRelatedWork W116097219 @default.
- W93554790 hasRelatedWork W2019095732 @default.
- W93554790 hasRelatedWork W2053076957 @default.
- W93554790 hasRelatedWork W2064461723 @default.
- W93554790 hasRelatedWork W2231717789 @default.
- W93554790 hasRelatedWork W231108296 @default.
- W93554790 hasRelatedWork W3144054324 @default.
- W93554790 hasRelatedWork W93554790 @default.
- W93554790 hasRelatedWork W2188139173 @default.
- W93554790 isParatext "false" @default.
- W93554790 isRetracted "false" @default.
- W93554790 magId "93554790" @default.
- W93554790 workType "book-chapter" @default.