Are you an EPFL student looking for a semester project?
Work with us on data science and visualisation projects, and deploy your project as an app on top of Graph Search.
Lecture
American Options: Pricing and Strategies
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.
Official source
About this result
This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.