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American Options

  • Jürgen Franke
  • Wolfgang Karl Härdle
  • Christian Matthias Hafner
Chapter
Part of the Universitext book series (UTX)

Abstract

Pricing American options is a more complex task than for European options since they can be exercised any time up to expiry. The moment the holder chooses to exercise option depends on the spot price of the underlying asset St.

References

  1. Dewynne, J., Howison, S., & Wilmott, P. (1993). Mathematical models and computation. Oxford University Press.zbMATHGoogle Scholar
  2. Samaskij, A. (1984). Theorie der Differenzenverfahren. Leipzig: Akademische Verlagsgesellschaft Geest und Portig K.-G.Google Scholar
  3. Wilmott, P., Howison, S., & Dewynne, J. (1995). The mathematics of financial derivatives: a student introduction. Cambridge: Cambridge University Press.CrossRefGoogle Scholar

Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  • Jürgen Franke
    • 1
  • Wolfgang Karl Härdle
    • 2
  • Christian Matthias Hafner
    • 3
  1. 1.Department of MathematicsTechnische Universität KaiserslauternKaiserslauternGermany
  2. 2.Ladislaus von Bortkiewicz Chair of StatisticsHumboldt-Universität BerlinBerlinGermany
  3. 3.Louvain Institute of Data Analysis and Modeling in Economics and StatisticsUCLouvainLouvain-la-NeuveBelgium

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