๐”– Bobbio Scriptorium
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Optimal exercise policies for call options and their valuation

โœ Scribed by Katsushige Sawaki


Book ID
103931095
Publisher
Elsevier Science
Year
1992
Tongue
English
Weight
366 KB
Volume
24
Category
Article
ISSN
0898-1221

No coin nor oath required. For personal study only.


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โœ Jacques F. Carriere ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 627 KB

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