| Автор | Dewynne, J. N. |
| Автор | Wilmott, P. |
| Дата выпуска | 1995 |
| dc.description | 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. |
| Формат | application.pdf |
| Издатель | Cambridge University Press |
| Копирайт | Copyright © Australian Mathematical Society 1995 |
| Название | A note on American options with varying exercise price |
| Тип | research-article |
| DOI | 10.1017/S0334270000007566 |
| Electronic ISSN | 1446-8735 |
| Print ISSN | 0334-2700 |
| Журнал | The Journal of the Australian Mathematical Society. Series B. Applied Mathematics |
| Том | 37 |
| Первая страница | 45 |
| Последняя страница | 57 |
| Аффилиация | Dewynne J. N.; University of Southampton |
| Аффилиация | Wilmott P.; Oxford University |
| Выпуск | 1 |
