Exercise Boundary Violations in American-Style Options: The Rule, not the Exception

2014 ◽  
Author(s):  
Robert H. Battalio ◽  
Stephen Figlewski ◽  
Robert Neal
Keyword(s):  
Boundary Violations ◽  
Exercise Boundary ◽  
American Style

Double barrier American put option pricing under uncertain volatility model

2021 ◽  
pp. 2150038
Author(s):  
El Kharrazi Zaineb ◽  
Saoud Sahar ◽  
Mahani Zouhir
Keyword(s):  
Single Point ◽  
Option Prices ◽  
Double Barrier ◽  
Early Exercise ◽  
Put Option ◽  
Volatility Model ◽  
Uncertain Volatility ◽  
Exercise Boundary ◽  
Early Exercise Boundary ◽  
American Style

This paper aims to study the asymptotic behavior of double barrier American-style put option prices under an uncertain volatility model, which degenerates to a single point. We give an approximation of the double barrier American-style option prices with a small volatility interval, expressed by the Black–Scholes–Barenblatt equation. Then, we propose a novel representation for the early exercise boundary of American-style double barrier options in terms of the optimal stopping boundary of a single barrier contract.

Exercise boundary of American-style Asian option

2008 ◽  
Vol 204 (1) ◽  
pp. 70-81
Author(s):  
Fahuai Yi ◽  
Yingshan Chen
Keyword(s):  
Asian Option ◽  
Exercise Boundary ◽  
American Style

scholarly journals Option Investor Rationality Revisited: The Role of Exercise Boundary Violations

2020 ◽  
Vol 76 (1) ◽  
pp. 82-99 ◽  
Author(s):  
Robert Battalio ◽  
Stephen Figlewski ◽  
Robert Neal
Keyword(s):  
Boundary Violations ◽  
Exercise Boundary

scholarly journals An Artificial Intelligence Approach to the Valuation of American-Style Derivatives: A Use of Particle Swarm Optimization

2021 ◽  
Vol 14 (2) ◽  
pp. 57
Author(s):  
Ren-Raw Chen ◽  
Jeffrey Huang ◽  
William Huang ◽  
Robert Yu
Keyword(s):  
Artificial Intelligence ◽  
Swarm Intelligence ◽  
Optimization Problems ◽  
High Dimensional ◽  
Optimal Exercise Boundary ◽  
Exercise Boundary ◽  
American Style ◽  
Path Dependent ◽  
Intelligence Approach ◽  
Artificial Intelligence Approach

In this paper, we evaluate American-style, path-dependent derivatives with an artificial intelligence technique. Specifically, we use swarm intelligence to find the optimal exercise boundary for an American-style derivative. Swarm intelligence is particularly efficient (regarding computation and accuracy) in solving high-dimensional optimization problems and hence, is perfectly suitable for valuing complex American-style derivatives (e.g., multiple-asset, path-dependent) which require a high-dimensional optimal exercise boundary.

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