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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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American Options with Lookback Payoff
SIAM Journal on Applied Mathematics, 2004Summary: We 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 the pricing model of the dynamic protection fund.
Min Dai, Yue Kuen Kwok
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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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Simulated Greeks for American options
Quantitative Finance, 2019This paper considers estimation of price sensitivities, so-called Greeks, for American style options using flexible simulation methods combined with initial dispersed state variables. The asymptotic properties of the estimators are studied and convergence of the method is established under mild regularity conditions. A 2-step method is proposed with an
Lars Stentoft, Pascal Letourneau
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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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A Note on the Pricing of American Options
Theory of Probability & Its Applications, 2004The author revisits the optimal stopping problem related to the pricing of perpetual American options in discrete time binomial models. He derives a list of properties which the value function must possess and which finally determine it uniquely. The value function and the stopping region are calculated for the continuous state space of all real ...
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