Report on "American Option Pricing and Hedging Strategies"
نویسنده
چکیده
This paper mainly discusses the American option’s hedging strategies via binomial model and the basic idea of pricing and hedging American option. Although the essential scheme of hedging is almost the same as European option, small differences may arise when simulating the process for American option holder has more rights, spelling that the option can be exercised at anytime before its maturity. Our method is dynamic-hedging method.
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ورودعنوان ژورنال:
- CoRR
دوره abs/0711.4324 شماره
صفحات -
تاریخ انتشار 2007