Autorenfreundlich Bücher kaufen?!
Beschreibung
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.
Details
| Verlag | LAP LAMBERT Academic Publishing |
| Ersterscheinung | 08. Dezember 2016 |
| Maße | 22 cm x 15 cm x 0.4 cm |
| Gewicht | 96 Gramm |
| Format | Softcover |
| ISBN-13 | 9783330013261 |
| Seiten | 52 |
Schlagwörter
Bekannt durch
