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Optimal Exercise for Derivative Securities

Optimal Exercise for Derivative Securities This article reviews the literature on American-style derivatives. The presentation stresses some of the major developments in the field. The focus is on the determination of optimal exercise policies and the structure of derivatives’ prices. Illustrative examples highlight the complexity of the optimal exercise decision. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Annual Review of Financial Economics Annual Reviews

Optimal Exercise for Derivative Securities

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Publisher
Annual Reviews
Copyright
Copyright © 2014 by Annual Reviews. All rights reserved
ISSN
1941-1367
eISSN
1941-1375
DOI
10.1146/annurev-financial-110613-034241
Publisher site
See Article on Publisher Site

Abstract

This article reviews the literature on American-style derivatives. The presentation stresses some of the major developments in the field. The focus is on the determination of optimal exercise policies and the structure of derivatives’ prices. Illustrative examples highlight the complexity of the optimal exercise decision.

Journal

Annual Review of Financial EconomicsAnnual Reviews

Published: Dec 1, 2014

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