Year: 2003
Journal of Partial Differential Equations, Vol. 16 (2003), Iss. 1 : pp. 29–36
Abstract
American options give holder a right to exercise it at any time at will, the holder should to make the exercise policy in such a way that the expected payoff from the option will be maximized. In this note we prove that it is equivalent to a fact which makes the option value and option delta continuous.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/2003-JPDE-5403
Journal of Partial Differential Equations, Vol. 16 (2003), Iss. 1 : pp. 29–36
Published online: 2003-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 8
Keywords: American option