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Analysis of the optimal exercise boundary of American put options with delivery lags
Gechun Liang / Zhou Yang
derivatives / option pricingResource overview

Analysis of the optimal exercise boundary of American put options with delivery lags

Paper2018

by Gechun Liang, Zhou Yang

Tags
derivativesoption pricing

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

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  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

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  1. The Black-Scholes PDE, Formula and Implied Volatility

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