Floating exercise boundaries for American options in time-inhomogeneous models
Floating exercise boundaries for American options in time-inhomogeneous models ArXiv ID: 2502.00740 “View on arXiv” Authors: Unknown 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. ...