Chapter 4. AMERICAN OPTIONS

Peter G. Zhang
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Peter G. Zhang: Vice-President, Capital Markets Research, Chase Manhattan Bank, USA

Chapter 4 in Exotic Options:A Guide to Second Generation Options, 1997, pp 89-110 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:AMERICAN OPTIONSTHE BINOMIAL MODELThe Single-Period Binomial ModelThe Multiperiod Binomial ModelPRICING AMERICAN OPTIONS IN THE BINOMIAL MODELThe Backward MethodPricing American OptionsNumber of Periods and Calculating TimeConvergence From the Binomial Model to the Black-Scholes ModelA Pricing Method for Both American and European Options Incorporating LiquidityAN ANALYTICAL APPROXIMATIONSUMMARYQUESTIONS AND EXERCISESQuestionsExercises

Date: 1997
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