A short course on American options
نویسنده
چکیده
1 American options in discrete time 2 1.1 Discrete markets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 1.2 Martingale measure and arbitrage price . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 1.3 Binomial model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 1.4 American options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 1.5 Asymptotics: the free-boundary problem . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 1.6 Binomial algorithm for American options . . . . . . . . . . . . . . . . . . . . . . . . . . 12 1.7 Trinomial model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 1.8 Pricing in an incomplete market by Dynamic Programming . . . . . . . . . . . . . . . . 15
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تاریخ انتشار 2009