Concepedia

Exercise Boundary Analysis

Exercise Boundary Analysis is a quantitative methodology in the field of financial derivatives that identifies the optimal stopping condition for early exercise of American-style equity options by characterizing the critical asset price level as a function of time and model parameters.

95

Publications

4.9K

Citations

137

Authors

101

Institutions

Publications per year

2017–2026

7

Parents

Publications

95

The Analytic Valuation of American Options

In Joon Kim · Review of Financial Studies · 1990 · 600 citations

, , +11

Jump Diffusion Option Valuation in Discrete Time

Kaushik I. Amin · The Journal of Finance · 1993 · 319 citations

, , +17

Pricing by American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential Function

Nengjiu Ju · Review of Financial Studies · 1998 · 253 citations

, , +14

An exact and explicit solution for the valuation of American put options

Song‐Ping Zhu · Quantitative Finance · 2006 · 240 citations

, , +15

Perpetual American Options Under Lévy Processes

Svetlana Boyarchenko · SIAM Journal on Control and Optimization · 2002 · 196 citations

, , +15

1–5 of 95

Authors

137

  1. JD
    Jérôme Detemple

    Boston University, United States

    6 publications · 523 citations

    6

    h-index

  2. LJ
    Lishang Jiang

    Tongji University, China

    5 publications · 133 citations

    5

    h-index

  3. SZ
    Song‐Ping Zhu

    University of Wollongong, Australia

    5 publications · 398 citations

    5

    h-index

  4. MB
    Mark Broadie

    Columbia University, United States

    5 publications · 389 citations

    5

    h-index

  5. JC
    John Chadam

    Indiana University Bloomington, United States

    4 publications · 275 citations

    4

    h-index

1–5 of 137

Institutions

101

  1. University of Wollongong

    Wollongong, Australia

    6 h-index

    8 publications

    443 citations

  2. Columbia University

    New York, United States

    5 h-index

    6 publications

    407 citations

  3. Tongji University

    Shanghai, China

    4 h-index

    6 publications

    147 citations

  4. Boston University

    Boston, United States

    4 h-index

    7 publications

    425 citations

  5. Western University

    London, Canada

    3 h-index

    5 publications

    89 citations

  6. Center for Interuniversity Research and Analysis on Organizations

    Montreal, Canada

    3 h-index

    4 publications

    429 citations

  7. Yonsei University

    Seoul, South Korea

    2 h-index

    3 publications

    69 citations

  8. University of Pittsburgh

    Pittsburgh, United States

    2 h-index

    5 publications

    191 citations

1–8 of 101

Venues

  1. Quantitative Finance

    11 publications · 442 citations

    10

    h-index

  2. SSRN Electronic Journal

    Repository · 7 publications · 167 citations

    7

    h-index

  3. Mathematical Finance

    7 publications · 511 citations

    7

    h-index

  4. Applied Mathematical Finance

    5 publications · 252 citations

    5

    h-index

  5. Journal of Futures Markets

    5 publications · 108 citations

    5

    h-index

1–5