On the quadratic valuation of American call options: challenging the functional form

This paper extends the framework of semi-analytical approximations to the valuation of American options by exploring the performance of competing functional forms for the value of an American option. The value function of the early exercise premium is modelled as a product of two functions, one being a function of time and the other being a function of price. The accuracy of the suggested functional form is verified through numerical tests.

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Year of publication:	2009
Authors:	Andrikopoulos, Andreas
Published in:	International Journal of Financial Markets and Derivatives. - Inderscience Enterprises Ltd, ISSN 1756-7130. - Vol. 1.2009, 1, p. 41-48
Publisher:	Inderscience Enterprises Ltd
Subject:	American options \| quadratic approximation

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008755233