Early Exercise Boundaries for American-Style Knock-Out Options


This paper proposes a novel representation for the early exercise boundary of American-style double knock-out options in terms of the simpler optimal stopping boundary of a nested single barrier American-style contract.... [ view full abstract ]


  1. Joao Pedro Ruas (Sociedade Gestora dos Fundos de Pensoes do Banco de Portugal)
  2. Joao Pedro Nunes (ISCTE-IUL)
  3. Jose Carlos Dias (ISCTE-IUL)

Topic Areas

Jump-Diffusions , Optimal Stopping , Options


FR-A-UI » American-style derivatives (10:00 - Friday, 20th July, Ui Chadhain)

Presentation Files

The presenter has not uploaded any presentation files.