Finding the optimal exercise time for American warrants on WIG20 futures (Wyznaczanie optymalnego momentu wykonania warrantów amerykańskich na kontrakty futures na indeks WIG20)

Bartosz Stawiarski

No HSC/04/01, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: Using dynamic programming techniques the optimal exercise time for American warrants on WIG20 futures is found.

Keywords: American warrants; WIG20 index; optimal exercise time (search for similar items in EconPapers)
JEL-codes: C63 G13 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2004
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