THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS1

Marek Rutkowski

Mathematical Finance, 1994, vol. 4, issue 4, 313-325

Abstract: The note deals with the pricing of American options related to foreign market equities. the form of the early exercise premium representation of the American option's price in a stochastic interest rate economy is established. Subsequently, the American fixed exchange rate foreign equity option and the American equity‐linked foreign exchange option are studied in detail.

Date: 1994
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