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A new form of the early exercise premium for American type derivatives

Authors :
Tsvetelin S. Zaevski
Source :
Chaos, Solitons & Fractals. 123:338-340
Publication Year :
2019
Publisher :
Elsevier BV, 2019.

Abstract

The purpose of this short paper is to present a new form of the so called early exercise premium for the American type derivatives. The decomposition we derived consists of the corresponding European derivative and a derivative with a stochastic maturity. In different particular cases we reach to the well known form for the American put option where the underlying asset is driven by a Brownian motion or a Levy process.

Details

ISSN :
09600779
Volume :
123
Database :
OpenAIRE
Journal :
Chaos, Solitons & Fractals
Accession number :
edsair.doi...........5a6a12278142233aa082b76a348c2659