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Calculating the American options in the default model

  • Control in Social Economic Systems
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Abstract

For the binomial model of the derivative securities market, consideration was given to calculation of prices and optimal instants of execution for the American instruments in the model with possible default (repudiation of a contract) by the contract holder. The results were obtained for the buyer and seller options with discount.

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Authors and Affiliations

  1. Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia

    R. V. Ivanov

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  1. R. V. Ivanov
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Original Russian Text © R.V. Ivanov, 2007, published in Avtomatika i Telemekhanika, 2007, No. 3, pp. 154–164.

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Ivanov, R.V. Calculating the American options in the default model. Autom Remote Control 68, 513–522 (2007). https://doi.org/10.1134/S0005117907030113

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  • DOI: https://doi.org/10.1134/S0005117907030113

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