American Derivative Securities

Igor V. Evstigneev, Thorsten Hens and Klaus Schenk-Hoppé
Additional contact information
Igor V. Evstigneev: University of Manchester
Thorsten Hens: University of Zurich

Chapter 14 in Mathematical Financial Economics, 2015, pp 137-144 from Springer

Abstract: Abstract The chapter introduces American derivative securities and develops the risk-neutral principle for their pricing. It explains the fundamental notion of an exercise strategy defined in terms of the property of non-anticipativity. The main result is a backward induction algorithm for computing the upper (seller’s) price of an American derivative security.

Keywords: Derivative Securities; Exercise Strategies; Backward Induction Algorithm; American Call Option; Risk-neutral Pricing (search for similar items in EconPapers)
Date: 2015
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:978-3-319-16571-4_14

Ordering information: This item can be ordered from
http://www.springer.com/9783319165714

DOI: 10.1007/978-3-319-16571-4_14

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 ().