Valuing American Style Options

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The fact that the American-style options can be exercised at any time its holder thinks as the more convenient, reflects the aspects of our problem: the valuation strategy of the American options, taking into account that they are worth at least as their European counterparties, due to the "early exercise" feature that is embedded in the American options. It is this early exercise feature that makes the valuation of the American options very complicated. The mathematical solution must be unique. The book has the following ...

Valuing American Style Options 2009, VDM Verlag, Saarbrucken

ISBN-13: 9783639223514

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