Optimal Choosing Models for Executing Criteria for American Options

Feng Dai () and Liang Ling

The IUP Journal of Applied Economics, 2007, vol. VI, issue 6, 94-109

Abstract: Based on the structure models of options pricing (Dai and Qin, 2005), this paper presents the models using which the optimal criterion for executing American options could be computed. By using these models, one can find the choosing criterion and optimal prices to exercise the American call and put options. Thus, a decision can be made as to whether an American option (call or put) should be exercised or not at a particular time. Results obtained from the empirical analysis are very practical and useful. The results and the related discussions of this paper are more important with regard to their consulting effect for single traders and organization traders to help them perform their security market trade.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjae:v:06:y:2007:i:6:p:94-109

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