Asymptotic analysis of American call options
نویسندگان
چکیده
منابع مشابه
Strict Local Martingale Deflators and Pricing American Call-type Options
We solve the problem of pricing and optimal exercise of American call-type options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical Analysis, 15:89168, 2009].
متن کاملA Call-Put Duality for Perpetual American Options
It is well known [5], [1] that in models with time-homogeneous local volatility functions and constant interest and dividend rates, the European Put prices are transformed into European Call prices by the simultaneous exchanges of the interest and dividend rates and of the strike and spot price of the underlying. This paper investigates such a Call Put duality for perpetual American options. It...
متن کاملPricing American-Style Derivatives with European Call Options
W present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European call-option prices are readily available. By approximating the value function with an appropriately chosen interpolation function, the pricing of an American-style derivative with arbitrary payoff function is converted to ...
متن کاملStrict local martingale deflators and valuing American call-type options
We develop a new theory for pricing call type American options in complete markets which do not necessarily admit an equivalent local martingale measure. This resolve an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical Analysis, 15:89168, 2009].
متن کاملAmerican Capped Call Options on Dividend-Paying Assets
Thi s a r t i c l e addres se s the p rob l em o f va lu ing Amer i can ca l l op t i ons w i th caps on d i v idendpaying assets . Since early exercise is al lowed, the valuat ion problem requires the determinat ion of opt imal exercise pol icies . Options with two t ypes o f caps a re ana ly zed cons tan t caps and caps with a constant growth rate. For constant caps, it is optimal to exercise...
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ژورنال
عنوان ژورنال: International Journal of Mathematics and Mathematical Sciences
سال: 2001
ISSN: 0161-1712,1687-0425
DOI: 10.1155/s0161171201005701