Optimal Exercise for Derivative Securities
Jérôme Detemple ()
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Jérôme Detemple: School of Management, Boston University, Boston, Massachusetts 02215
Annual Review of Financial Economics, 2014, vol. 6, issue 1, 459-487
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)
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Persistent link: https://EconPapers.repec.org/RePEc:anr:refeco:v:6:y:2014:p:459-487
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