Fr. 47.50

The Closed-Form Solution for Pricing American Put Options

English, German · Paperback / Softback

Shipping usually within 2 to 3 weeks (title will be printed to order)

Description

Read more

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.

About the author










Mr. Xiaodong Wang, MSc in financial mathematics, having rich working experiences in financial fields in China for many years.

Product details

Authors Xiaodong Wang
Publisher LAP Lambert Academic Publishing
 
Languages English, German
Product format Paperback / Softback
Released 01.01.2016
 
EAN 9783330013261
ISBN 978-3-33-001326-1
No. of pages 52
Subject Guides > Law, job, finance > Money, bank, stock market

Customer reviews

No reviews have been written for this item yet. Write the first review and be helpful to other users when they decide on a purchase.

Write a review

Thumbs up or thumbs down? Write your own review.

For messages to CeDe.ch please use the contact form.

The input fields marked * are obligatory

By submitting this form you agree to our data privacy statement.