EXTENSION OF ASSET AND RISK MANAGEMENT IN THE PRESENCE OF AMERICAN OPTIONS: DIVIDENDS, EARLY EXERCISE, AND INFORMATION UNCERTAINTY

Mondher Bellalah
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Mondher Bellalah: Université de Cergy-Pontoise, France

Chapter 14 in Derivatives, Risk Management & Value, 2009, pp 615-666 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Chapter OutlineIntroductionThe Valuation of American Options: The General ProblemEarly exercise of American callsEarly exercise of American putsThe American put option and its critical stock priceValuation of American Commodity Options and Futures Options with Continuous DistributionsValuation of American commodity optionsExamples and applicationsValuation of American futures optionsExamples and applicationsValuation of American Commodity and Futures Options with Continuous Distributions within Information UncertaintyCommodity option valuation with information costsSimulation resultsValuation of American Options with Discrete Cash-DistributionsEarly exercise of American optionsValuation of American options with dividendsValuation of American Options with Discrete Cash Distributions within Information UncertaintyThe modelSimulation resultsThe Valuation Equations for Standard and Compound Options with Information CostsThe pricing of assets under incomplete informationThe valuation of equity as a compound optionSummaryQuestionsAppendix A: An Alternative Derivation of the Compound Option's Formula Using the Martingale ApproachExercisessolutionReferences

Keywords: Options; Forwards; Futures; Valuation; Hedging; Arbitrage; Speculation; Pricing (search for similar items in EconPapers)
Date: 2009
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