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A new form of the early exercise premium for American type derivatives
- 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.
- Subjects :
- General Mathematics
Applied Mathematics
Short paper
General Physics and Astronomy
Statistical and Nonlinear Physics
Type (model theory)
01 natural sciences
Maturity (finance)
Lévy process
010305 fluids & plasmas
Derivative (finance)
0103 physical sciences
Asset (economics)
Put option
010301 acoustics
Mathematical economics
Brownian motion
Mathematics
Subjects
Details
- ISSN :
- 09600779
- Volume :
- 123
- Database :
- OpenAIRE
- Journal :
- Chaos, Solitons & Fractals
- Accession number :
- edsair.doi...........5a6a12278142233aa082b76a348c2659