Chockalingam, Arun; Feng, Haolin - In: European Journal of Operational Research 243 (2015) 3, pp. 883-896
The optimal-exercise policy of an American option dictates when the option should be exercised. In this paper, we … consider the implications of missing the optimal exercise time of an American option. For the put option, this means holding … the option until it is deeper in-the-money when the optimal decision would have been to exercise instead. We derive an …
