Pricing American options under negative rates

This paper defines the criteria under which early exercise of an American option is never optimal, whether positive or negative rates, and gives a short analysis various shapes region interest rates. It then presents new integral equation, establishes price two early-exercise boundaries shows how to solve this equation through modifications modern efficient algorithm Andersen Lake, from changes in initial estimate more subtle required their fixed-point method for stability. Finally, performance accuracy resulting are assessed against cutting-edge finite-difference implementation.