On the Signi cance of Capturing the Early Exercise Boundary for the American Put Price

dc.contributor.author	Bajqinca, Kushtrim
dc.date.accessioned	2017-07-25T10:01:14Z
dc.date.available	2017-07-25T10:01:14Z
dc.date.issued	2017-07-25
dc.identifier.uri	http://hdl.handle.net/2077/53108
dc.description	MSC in Finance	sv
dc.description.abstract	I show that the three-piece exponential boundary by Ju (1998) accurately 'tracks' the early exercise boundary. This results in more accurate option pricing than other comparable methods. Numerical results obtained in this paper agree that a multipiece exponential function approximation yields very accurate prices for short as well as moderate maturity put options. These results are partially at odds with previous research.	sv
dc.language.iso	eng	sv
dc.relation.ispartofseries	Master Degree Project	sv
dc.relation.ispartofseries	2017:142	sv
dc.subject	American put option	sv
dc.subject	Analytical approximation	sv
dc.subject	Early exercise boundary	sv
dc.title	On the Signi cance of Capturing the Early Exercise Boundary for the American Put Price	sv
dc.type	Text
dc.setspec.uppsok	SocialBehaviourLaw
dc.type.uppsok	H2
dc.contributor.department	University of Gothenburg/Graduate School	eng
dc.contributor.department	Göteborgs universitet/Graduate School	swe
dc.type.degree	Master 2-years