Optimal Choice Models for Executing Time to American Options

Feng Dai () and Feng Han
Additional contact information
Feng Han: Zhengzhou Information Engineering University

Finance from EconWPA

Abstract: Based on the structure models of options pricing on non-dividend-paying stock [16], this paper presents the choosing models and methods of optimal time of executing an American options for the first time. By using the models and methods, we can find the choosing criterion and optimal time to exercise the American options, i.e. the product of options price and its occurring probability is at maximum. So we can decide that an American option should be exercised or not in any time. The conclusions in this paper are more important in its consulting effect for single trader and organization investors to make their security market trade.

Keywords: partial distribution; American options; structure pricing; optimal executing; analytic formula (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-rmg
Date: 2004-12-10
Note: Type of Document - pdf; pages: 10
View list of references

Downloads: (external link)
http://129.3.20.41/eps/fin/papers/0412/0412016.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0412016

Access Statistics for this paper

More papers in Finance from EconWPA
Series data maintained by EconWPA ().