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.

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Year of publication:	2014
Authors:	Detemple, Jérôme
Published in:	Annual Review of Financial Economics. - Annual Reviews, ISSN 1941-1367. - Vol. 6.2014, 1, p. 459-487
Publisher:	Annual Reviews
Subject:	derivatives \| options \| American-style \| valuation \| exercise region \| exercise boundaries

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Extent:	application/pdf
Type of publication:	Article
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011094544