English, Article, Journal or magazine article edition: Pricing American Options in a Mild Stochastic Environment Moisa Altar; Judita Samuel

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/197533
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Pricing American Options in a Mild Stochastic Environment
Author
  • Moisa Altar
  • Judita Samuel
Physical Description
  • preprint
Notes
  • The problem of pricing derivative financial products is central to the theory of capital markets. An option is a financial contract conveying its owner the right of buying or selling a financial asset (underlying asset) at a preset strike price K, at a fixed expiration date T (maturity). Unlike European options, which can be exercised only at maturity date, an American option can be exercised at any time t prior to the maturity date. Most of the option pricing methods, starting with the well-known Black-Scholes model (1973), are based on the assumption that the market uncertainty can be modeled by a Wiener process. In this context, while it is possible to obtain convenient analytical option pricing formulae for European options, it is very difficult to obtain exact results for American options. In the present paper, we assume that the market uncertainty is modeled by a more regular stochastic process, which was called, by A. Halanay, a mild stochastic environment. In this context, we are able to obtain precise stopping rules, determining the exact exercise time and the exact price of an American option.
  • american option, option pricing, mild stochastic environment
  • RePEc:cab:wpaefr:11
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment