Floating exercise boundaries for American options in time-inhomogeneous models

Andrey Itkin and Yerkin Kitapbayev

Papers from arXiv.org

Abstract: 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.

Date: 2025-02
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2502.00740 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2502.00740

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().