Economics at your fingertips  

Optimal Exercise for Derivative Securities

Jérôme Detemple ()
Additional contact information
Jérôme Detemple: School of Management, Boston University, Boston, Massachusetts 02215

Annual Review of Financial Economics, 2014, vol. 6, issue 1, 459-487

Abstract: This article reviews the literature on American-style derivatives. The presentation stresses some of the major developments in the field. The focus is on the determination of optimal exercise policies and the structure of derivatives' prices. Illustrative examples highlight the complexity of the optimal exercise decision.

Keywords: derivatives; options; American-style; valuation; exercise region; exercise boundaries (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link) (application/pdf)
Full text downloads are only available to subscribers. Visit the abstract page for more information.

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:

Ordering information: This journal article can be ordered from

Access Statistics for this article

More articles in Annual Review of Financial Economics from Annual Reviews Annual Reviews 4139 El Camino Way Palo Alto, CA 94306, USA.
Series data maintained by ().

Page updated 2017-09-29
Handle: RePEc:anr:refeco:v:6:y:2014:p:459-487