A note on American options with varying exercise price
1995 ◽
Vol 37
(1)
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pp. 45-57
Keyword(s):
A Priori
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AbstractWe examine the valuation of American options in a discrete time setting where the exercise price is known a priori but varies with time. (This is in contrast with the classical Black-Scholes [2] analysis, which lies in a continuous time framework and with constant exercise price.) In particular we consider a time series of exercise prices which are themselves a realisation of the share price random walk — that of the previous year, say.
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2004 ◽
Vol 344
(1-2)
◽
pp. 108-111
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2008 ◽
Vol 5
(25)
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pp. 885-897
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1998 ◽
Vol 7
(4)
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pp. 397-401
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Keyword(s):
2010 ◽
Vol 117
(4)
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pp. 669-672
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1996 ◽
Vol 33
(02)
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pp. 331-339
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