A Replicating Portfolio Approach to Valuing American Options in Closed-Form

I derive closed-form expressions for the value of American call and put options (on an asset with continuous yield) using the Feynman-Kac formula, modelling the size of early exercise premium as a function of the strike, dividend yield and time to maturity. Strategies involving European options and binary options on forwards on the asset replicate an American option exactly. Violations of Put-Call parity for American options is also explored in this framework

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Year of publication:	[2021]
Authors:	Khan, Muhammad Nazmul
Publisher:	[S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Portfolio-Management \| Portfolio selection \| Optionsgeschäft \| Option trading

Extent:	1 Online-Ressource (12 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 19, 2020 erstellt
Other identifiers:	10.2139/ssrn.3733258 [DOI]
Classification:	C32 - Time-Series Models ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013246458