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Více informací o knize The Closed-Form Solution for Pricing American Put Options

• Parametry knihy
• Anotace
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Anotace knihy

This book proposes a closed-form solution for pricing an American put option on a non-dividend paying stock based on an optimally early-exercise strategy. An American put option should be early exercised when the maximum option premium of early exercise is not less than the value of its European counterpart; otherwise, it should not be early exercised. This paper also shows that Merton (1973)'s formula for pricing a perpetual American put option on a non-dividend paying stock is not perfect and shows such an option's value is equal to its strike price.

Parametry knihy

• Plný název: The Closed-Form Solution for Pricing American Put Options
• Autor: Xiaodong Wang
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 52
• EAN: 9783330013261
• ID: 15720506
• Nakladatelství: LAP Lambert Academic Publishing
• Hmotnost: 96 g
• Rozměry: 220 × 150 × 3 mm
• Rok vydání: 2016

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