American Options: Pricing and Strategies

In course

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Description

This lecture covers American options, including general results, perpetual American put, finite maturity options, market model assumptions, American derivatives, stopping times, passage time, optimal exercise, Markov models, characterization of option prices, free boundary problem, optimal exercise trigger, smooth pasting, replicating strategy, basic properties, pricing problem, approximation techniques, ansatz method, solving differential equations, exercise boundary determination, and option price analysis.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_2rt064eh

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Ontological neighbourhood

Economics

Microeconomics: Financial economics

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