Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

On the pricing of American options

On the pricing of American options The problem of valuation for contingent claims that can be exercised at any time before or at maturity, such as American options, is discussed in the manner of Bensoussan [1]. We offer an approach which both simplifies and extends the results of existing theory on this topic. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

On the pricing of American options

Karatzas, Ioannis
Applied Mathematics and Optimization , Volume 17 (1) – Mar 23, 2005
Download PDF
24 pages

Loading next page...
 
/lp/springer-journals/on-the-pricing-of-american-options-a9FehMFz9q

References (21)

Publisher
Springer Journals
Copyright
Copyright © 1988 by Springer-Verlag New York Inc
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
ISSN
0095-4616
eISSN
1432-0606
DOI
10.1007/BF01448358
Publisher site
See Article on Publisher Site

Abstract

The problem of valuation for contingent claims that can be exercised at any time before or at maturity, such as American options, is discussed in the manner of Bensoussan [1]. We offer an approach which both simplifies and extends the results of existing theory on this topic.

Journal

Applied Mathematics and Optimization – Springer Journals

Published: Mar 23, 2005

There are no references for this article.