American Option Américaine Options American options and Numerical Methods

Patrice Poncet () and Roland Portait
Additional contact information
Patrice Poncet: ESSEC Business School
Roland Portait: ESSEC Business School

Chapter 13 in Capital Market Finance, 2022, pp 501-548 from Springer

Abstract: Abstract American options, unlike European ones, may be optimally early exercised. Section 13.1 is devoted to conditions for early exercise and to call-put “parity” relationships. Section 13.2 presents analytical methods of valuation which generally do not yield exact analytic formulas. Numerical methods are flexible and powerful tools, adapted to a wide variety of problems for which no analytical solution is available. We present first in Sect. 13.3 the simplest numerical method for valuing American options, an adapted version of the binomial model. Then, in Sect. 13.4, we analyze three other types of numerical methods: finite differences, trinomial and multi-dimensional trees.

Date: 2022
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-030-84600-8_13

Ordering information: This item can be ordered from
http://www.springer.com/9783030846008

DOI: 10.1007/978-3-030-84600-8_13

Access Statistics for this chapter

More chapters in Springer Texts in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().