A Note on the Valuation of American Option

Authors

  • Baojun Bian & Lishang Jiang

Keywords:

American option;Free boundary problems

Abstract

" American options give holder a right to exercise it at any time at will, the holder should to make the exercise policy in such a way that the expected payoff from the option will be maximized. In this note we prove that it is equivalent to a fact which makes the option value and option delta continuous."

Published

2003-02-02

Issue

Section

Articles