Results 251 to 260 of about 13,222,209 (296)
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2012
The American options generalize the European options in the sense that they can be exercised at any moment prior to maturity. They are part of the more general category of American-type derivatives that we shall define in Subsection 3.1 as a sequence X = (Xn) of random variables that are adapted to a given filtration (Fn), typically generated by the ...
Pascucci A., Runggaldier W. J.
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The American options generalize the European options in the sense that they can be exercised at any moment prior to maturity. They are part of the more general category of American-type derivatives that we shall define in Subsection 3.1 as a sequence X = (Xn) of random variables that are adapted to a given filtration (Fn), typically generated by the ...
Pascucci A., Runggaldier W. J.
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International Journal of Theoretical and Applied Finance, 2019
We present a new American-style option whereby on the event of exercise before expiry, the holder pays the writer a fee (which will be referred to as a ‘penalty’). The valuation of the option is not straightforward as it involves determining when it is optimal for the holder to exercise the option, leading to a free boundary problem.
ZIWEI KE, JOANNA GOARD
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We present a new American-style option whereby on the event of exercise before expiry, the holder pays the writer a fee (which will be referred to as a ‘penalty’). The valuation of the option is not straightforward as it involves determining when it is optimal for the holder to exercise the option, leading to a free boundary problem.
ZIWEI KE, JOANNA GOARD
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American Options with Lookback Payoff
SIAM Journal on Applied Mathematics, 2004We examine the early exercise policies and pricing behaviors of one-asset American options with lookback payoff structures. The classes of option models considered include floating strike lookback options, Russian options, fixed strike lookback options and pricing model of protection fund.
Min Dai, Yue Kuen Kwok
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ON THE AMERICAN OPTION PROBLEM
Mathematical Finance, 2005Summary: We show how the change-of-variable formula with local time on curves derived recently in \textit{G. Peskir} [J. Theor. Probab. 18, No. 3, 499-535 (2005; Zbl 1085.60033)] can be used to prove that the optimal stopping boundary for the American put option can be characterized as the unique solution of a nonlinear integral equation arising from ...
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Spanning with American options
Journal of Economic Theory, 2003The author considers American options that expire at the terminal date and are available for trade at all dates. They are referred to as multiperiod American options. It is proved that if a primitive security separates states at the terminal date, then generically there exist multiperiod American options on that security generating dynamically complete
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1999
As in Chapter 7, we suppose there is an underlying probability space (Ω, F, Q). The time parameter t takes values in [0,T]. There is a filtration 𝔽 = {F t } that satisfies the ‘usual conditions’ (see Chapter 6, page 99).
Robert J. Elliott, P. Ekkehard Kopp
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As in Chapter 7, we suppose there is an underlying probability space (Ω, F, Q). The time parameter t takes values in [0,T]. There is a filtration 𝔽 = {F t } that satisfies the ‘usual conditions’ (see Chapter 6, page 99).
Robert J. Elliott, P. Ekkehard Kopp
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AMERICAN OPTIONS AND INCOMPLETE INFORMATION
International Journal of Theoretical and Applied Finance, 2019We study the optimal exercise of American options under incomplete information about the drift of the underlying process, and we show that quite unexpected phenomena may occur. In fact, certain parameter values give rise to stopping regions very different from the standard case of complete information.
Ekström, Erik, Vannestål, Martin
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2000
In this chapter, we consider the American call option in a continuous time model of stock prices. The development is similar to that in discrete time and follows our general approach of deriving upper and lower bounds based on the NA principle. We will show that in a complete market, the two bounds coincide.
Gopinath Kallianpur +1 more
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In this chapter, we consider the American call option in a continuous time model of stock prices. The development is similar to that in discrete time and follows our general approach of deriving upper and lower bounds based on the NA principle. We will show that in a complete market, the two bounds coincide.
Gopinath Kallianpur +1 more
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