on traders are aware that M American-type option is generally worth more than 0 a European-type option because of the potential for exercise at any time until expiration of the contract. This difference may be termed the early exercise premium. Only recently has it become possibie to empirically me
Hints for an extension of the early exercise premium formula for American options
✍ Scribed by Hans-Peter Bermin; Arturo Kohatsu-Higa; Josep Perelló
- Publisher
- Elsevier Science
- Year
- 2005
- Tongue
- English
- Weight
- 278 KB
- Volume
- 355
- Category
- Article
- ISSN
- 0378-4371
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
This article shows how to value the optimal stopping time for any Markovian process in finite discrete time. Specifically, the article focuses on the valuation of American options using simulations of stochastic processes. It also shows that the estimation of the decision rule to exercise early is e
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