现代金融中数学问题.pptVIP

Chapter 3: American options and early exercise Two questions: (1) option price (2) what’s the optimal exercise policy Probabilistic approach BTM For European vanilla options Continuous-time pricing model for American put Continuous dividend payments American put American call A free boundary problem Perpetual American options Can be exercised at any time, no expiry continued Optimal exercise boundary (as a function of time to expiry (tau)) Put-Call parity Put-call symmetry Continued Call option C(S1,t;X1, r,q) max(S1-X1,0) to exchang