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Information Center for Mathematical Science

논문검색

Information Center for Mathematical Science

논문검색

Trends in Mathematics
( Vol. 13 NO.1 / (2011))
A SURVEY ON THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN OPTIONS
SUK JOON BYUN,
Pages. 61-66
Abstract Unlike European options, American options can be exercised at any time before the expiration date. This fact makes it difficult to analyze the price and the optimal exercise boundary of an American option. This article surveys the literature on the analysis and numerical computations of the optimal exercise boundary for American options.
Contents 1. Traditional methods for American options
2. Integral representation
3. Infinite series solution
4. Optimal exercise boundary at near expiry
5. American style path dependent options
Key words class invariant, Galois trace, modular trace, Hilbert class polynomial, ring class field, Shimura reciprocity law, weakly holomorphic modular form
Mathmatical Subject Classification 11F37; 11F30; 11G15; 11R27; 11R37
원문파일 5sukjoonbyun.pdf