American Claims

R. Myneni

Chapter Chapter 16 in Mathematical Finance and Probability, 2003, pp 277-295 from Springer

Abstract: Abstract Up to now the focus of the book has been on the study of prices of European claims, i.e. of financial contracts which have a given payoff at a fixed maturity. We now turn to investigate financial contracts which allow for the possibility of early exercise. We will consider two issues which will actually turn out to be related to each other: pricing and hedging of American claims, on the one side, and optimal exercise strategies on the other.

Keywords: Recursion Formula; Price Process; Strike Price; Hedging Strategy; European Option (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-0348-8041-1_16

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DOI: 10.1007/978-3-0348-8041-1_16

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