American Step Options
| Autor: | Franck Moraux, Jerome Detemple, Souleymane Laminou Abdou |
|---|---|
| Přispěvatelé: | Questrom School of Business, Boston University [Boston] (BU), Centre de recherche en économie et management (CREM), Université de Caen Normandie (UNICAEN), Normandie Université (NU)-Normandie Université (NU)-Université de Rennes (UR)-Centre National de la Recherche Scientifique (CNRS), Centre National de la Recherche Scientifique (CNRS)-Université de Rennes 1 (UR1), Université de Rennes (UNIV-RENNES)-Université de Rennes (UNIV-RENNES)-Université de Caen Normandie (UNICAEN), Normandie Université (NU)-Normandie Université (NU), Normandie Université (NU)-Normandie Université (NU)-Université de Rennes 1 (UR1), Université de Rennes (UNIV-RENNES)-Université de Rennes (UNIV-RENNES)-Centre National de la Recherche Scientifique (CNRS) |
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Information Systems and Management
General Computer Science Computer science Multiple exercise boundaries 0211 other engineering and technologies 02 engineering and technology Management Science and Operations Research Industrial and Manufacturing Engineering Convexity Step options 0502 economics and business Uniqueness Implementation American options Brownian motion Risk management Valuation (finance) 050210 logistics & transportation 021103 operations research Laplace transform business.industry 05 social sciences [SHS.ECO]Humanities and Social Sciences/Economics and Finance Integral equation Occupation time Modeling and Simulation business Mathematical economics |
| Zdroj: | European Journal of Operational Research European Journal of Operational Research, 2020, 282 (1), pp.363-385. ⟨10.1016/j.ejor.2019.09.009⟩ European Journal of Operational Research, Elsevier, 2020, 282 (1), pp.363-385. ⟨10.1016/j.ejor.2019.09.009⟩ |
| ISSN: | 0377-2217 1872-6860 |
| DOI: | 10.1016/j.ejor.2019.09.009⟩ |
| Popis: | International audience; This paper examines the valuation of American knock-out and knock-in step options. The structures of the immediate exercise regions of the various contracts are identified. Typical properties of American vanilla calls, such as uniqueness of the optimal exercise boundary, upconnectedness of the exercise region or convexity of its t-section, are shown to fail in some cases. Early exercise premium representations of step option prices, involving the Laplace transforms of the joint laws of Brownian motion and its occupation times, are derived. Systems of coupled integral equations for the components of the exercise boundary are deduced. Numerical implementations document the behavior of the price and the hedging policy. The paper is the first to prove that finite maturity exotic American Options written on a single underlying asset can have multiple disconnected exercise regions described by a triplet of coupled boundaries. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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