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.
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References
Dewynne, J., Howison, S., & Wilmott, P. (1993). Mathematical models and computation. Oxford University Press.
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Franke, J., Härdle, W.K., Hafner, C.M. (2019). American Options. In: Statistics of Financial Markets. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-030-13751-9_8
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DOI: https://doi.org/10.1007/978-3-030-13751-9_8
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