Optimal Early Exercise of American Options

George Constantinides

Chapter 6 in Financial Derivatives:Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 95-105 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:Introduction and MotivationIntuition Behind Early ExerciseExample on the Exercise of an American Call when the Stock Does Not Pay DividendSummary of Rules for American CallsSummary of Rules for American PutsThe Dividend SpreadAssignment 4

Keywords: Futures; Forwards; Options; Corporate Securities; Derivatives; Hedging; Risk Management (search for similar items in EconPapers)
Date: 2015
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