Floating exercise boundaries for American options in time-inhomogeneous models
Fuente:
arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2025
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| _version_ | 1866918097889263616 |
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| author | Itkin, Andrey Kitapbayev, Yerkin |
| author_facet | Itkin, Andrey Kitapbayev, Yerkin |
| contents | This paper examines a semi-analytical approach for pricing American options in time-inhomogeneous models characterized by negative interest rates (for equity/FX) or negative convenience yields (for commodities/cryptocurrencies). Under such conditions, exercise boundaries may exhibit a "floating" structure - dynamically appearing and disappearing. For example, a second exercise boundary could emerge within the computational domain and subsequently both could collapse, demanding specialized pricing methodologies. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2502_00740 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Floating exercise boundaries for American options in time-inhomogeneous models Itkin, Andrey Kitapbayev, Yerkin Pricing of Securities Computational Finance Mathematical Finance This paper examines a semi-analytical approach for pricing American options in time-inhomogeneous models characterized by negative interest rates (for equity/FX) or negative convenience yields (for commodities/cryptocurrencies). Under such conditions, exercise boundaries may exhibit a "floating" structure - dynamically appearing and disappearing. For example, a second exercise boundary could emerge within the computational domain and subsequently both could collapse, demanding specialized pricing methodologies. |
| title | Floating exercise boundaries for American options in time-inhomogeneous models |
| topic | Pricing of Securities Computational Finance Mathematical Finance |
| url | https://arxiv.org/abs/2502.00740 |