Kourtis, Apostolos; Markellos, Raphael N. - In: Managerial Finance 37 (2011) October, pp. 978-984
Purpose – The purpose of this paper is to study the importance of business time, and market opening/closing times and days, for American option pricing. Design/methodology/approach – A Bermudan pricing approach is employed whereby the option can be exercised only during the times and days...
