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 …

This article compares alternative binomial approximation schemes for computing the option
hedge ratios studied by Chung and Shackleton (2002), Chung, Hung, Lee, and Shih (2011) …

This paper proposes an accelerated static replication approach for continuous European‐
style barrier options by employing the repeated Richardson extrapolation technique with the …

This study provides a systematic and unified approach for constructing exact and static
replications for exotic options, using the theory of integral equations. In particular, we focus …

Recently in the fields of stochastic optimal control (SOC) and reinforcemnet l earning (RL),
there have been a great deal of research efforts for the problem of finding data-based sub …

We price an American floating strike lookback option under the Black–Scholes model with a
hypothetic static hedging portfolio (HSHP) composed of nontradable European options. Our …

Like plain-vanilla calls and puts, barrier options feature an exercise price that determines the
payoff at expiration, but also a second “in” or “out” strike. If the underlying stock price hits this …

This article compares alternative binomial approximation schemes for computing the option
hedge ratios studied by Pelsser and Vorst (1994), Chung and Shackleton (2002), and …

This thesis extends the static hedging portfolio (SHP) methods of Derman, Ergener, and
Kani (1995) and Chung, Shih, and Tsai (2013) to evaluate American up-and-out put options …

요 약최근들어, 확률론적 최적제어 (stochastic optimal control) 및 강화학습 (reinforcement
learning) 분야에서는 데이터를활용하여 준최적 제어 전략을 찾는 문제를 위한 많은 연구 …