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Nunes, J., Ruas, J. & Dias, J. C. (2020). Early exercise boundaries for American-style knock-out options. European Journal of Operational Research . 285 (2), 753-766
Export Reference (IEEE) 
J. P. Nunes et al.,  "Early exercise boundaries for American-style knock-out options", in European Journal of Operational Research , vol. 285, no. 2, pp. 753-766, 2020
Export BibTeX 
@article{nunes2020_1766407417276,
	author = "Nunes, J. and Ruas, J. and Dias, J. C.",
	title = "Early exercise boundaries for American-style knock-out options",
	journal = "European Journal of Operational Research ",
	year = "2020",
	volume = "285",
	number = "2",
	doi = "10.1016/j.ejor.2020.02.006",
	pages = "753-766",
	url = "https://www.sciencedirect.com/science/article/pii/S0377221720301247?dgcid=coauthor"
}
Export RIS 
TY  - JOUR
TI  - Early exercise boundaries for American-style knock-out options
T2  - European Journal of Operational Research 
VL  - 285
IS  - 2
AU  - Nunes, J.
AU  - Ruas, J.
AU  - Dias, J. C.
PY  - 2020
SP  - 753-766
SN  - 0377-2217
DO  - 10.1016/j.ejor.2020.02.006
UR  - https://www.sciencedirect.com/science/article/pii/S0377221720301247?dgcid=coauthor
AB  - This paper proposes a novel representation for the early exercise boundary of American-style double knock-out options in terms of the simpler optimal stopping boundary of a nested single barrier contract. Such representation only requires the existence, continuity and monotonicity (in time) of the nested single barrier exercise boundary, and these requirements are proved for the whole class of single-factor exponential-Lévy processes. To illustrate the practical relevance of our results, a new put-call duality relation is obtained, a real options application is provided and the Fourier space time-stepping method, the COS approximation, and the static hedging portfolio approach are all adapted to the valuation of American-style double knock-out options.
ER  -