Approximating the exact value of an American option
An American option is a derivative security that can be exercised at any time before expiration. Under standard hypotheses it can be shown that its arbitrage-free price is the solution of an optimal stopping problem. Usually, if the underlying asset follows a diffusion, the stopping time problem doe...
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| Format: | Article |
| Language: | English |
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University of Bologna
2007-10-01
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| Series: | Statistica |
| Online Access: | http://rivista-statistica.unibo.it/article/view/39 |