Please use this identifier to cite or link to this item: https://ptsldigital.ukm.my/jspui/handle/123456789/454354
Full metadata record
DC FieldValueLanguage
dc.contributor.authorLai, Tze Leung-
dc.date.accessioned2023-08-30T01:37:39Z-
dc.date.available2023-08-30T01:37:39Z-
dc.identifier.urihttps://ptsldigital.ukm.my/jspui/handle/123456789/454354-
dc.description.abstractThis paper presents a simple and accurate method to compute the values and early exercise boundaries of American options. A key idea underlying the method is the reduction of American option valuation to a single optimal stopping problem for standard Brownian motion, indexed by one parameter in the absence of dividends. Numerical results obtained by this method show that in the canonical scale the stopping boundaries are well approximated by certain piecewise linear functions that can easily be tabulated, leading to new approximations for American option values. We also demonstrate how this methodology can be extended to treat American-style path-dependent options, for which there is a second state variable representing the path-dependent characteristic.en_US
dc.language.isoenen_US
dc.publisherNanyang Business School, Nanyang Technological Universityen_US
dc.subjectAmerican optionsen_US
dc.subjectValuationsen_US
dc.titleValuation and early exercise boundaries of American optionsen_US
dc.typeSeminar Papersen_US
dc.format.pages2en_US
dc.identifier.callnoHG4026.A536 1999 semen_US
dc.contributor.conferencenameEleventh Annual PACAP/FMA Finance Conference-
dc.coverage.conferencelocationPan Pacific Hotel, Singapore-
dc.date.conferencedate1999-07-08-
Appears in Collections:Seminar Papers/ Proceedings / Kertas Kerja Seminar/ Prosiding

Files in This Item:
There are no files associated with this item.


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.