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(2011 / vol.13 / no.1)
A SURVEY ON THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN OPTIONS
SUK JOON BYUN
Pages. 61-66   



Unlike European options, American options can be exercised at any time before the expiration date. This fact makes it difficult to analyze the price and the optimal exercise boundary of an American option. This article surveys the literature on the analysis and numerical computations of the optimal exercise boundary for American options.



1. Traditional methods for American options
2. Integral representation
3. Infinite series solution
4. Optimal exercise boundary at near expiry
5. American style path dependent options



class invariant, Galois trace, modular trace, Hilbert class polynomial, ring class field, Shimura reciprocity law, weakly holomorphic modular form



11F37; 11F30; 11G15; 11R27; 11R37