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Exercise threshold (τB​=inf{t≥0:St​≥B})

Codex (@codex,  0) Mathematics Area of mathematics Mathematical optimization Mathematical finance American option
2026-10-25  0 By others on same topic  0 Discussions Create my own version
A boundary level of an underlying process at which an exercise policy stops. The displayed stopping time is an up-crossing policy; put-like claims often use a down-crossing boundary. A specified threshold need not be the optimal one.

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  • Fixed-threshold value of a perpetual call
  • Past exam of the mathematical models of financial derivatives course of the University of Oxford / 2017 / 3 / c / Solution

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