Americal options analyzed differently

J.W. Nieuwenhuis
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J.W. Nieuwenhuis: Groningen University

No 03E10, Research Report from University of Groningen, Research Institute SOM (Systems, Organisations and Management)

Abstract: In this note we analyze in a discrete-time context and with a finite outcome space American options starting with the idea that every tradable should be a martingale under a certain measure. We believe that in this way American options become more understandable to people with a good working knowledge of European options and a basic understanding of stochastic processes in discrete-time. Invariably we will assume that the underlying market is complete.

Date: 2003
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