Hints for an Extension of the Early Exercise Premium Formula for American Options
Hints for an Extension of the Early Exercise Premium Formula for American Options
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延长美式期权早期履约溢价公式的提示
DOI：
10.2139/ssrn.632164
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发表时间：
2004
期刊：
影响因子：
--
通讯作者：
J. Perelló
中科院分区：
文献类型：
--
作者：
Hans‐Peter Bermin;A. Kohatsu;J. Perelló
美式看跌期权的价格存在一个非封闭的公式，需要进行非平凡的计算来求解，人们已经做出了很大的努力来提出有效的数值方法，但很少有人有很强的数学推理来确定为什么它们工作得很好。针对数值方法不满足光滑粘贴条件的缺点，提出了一种扩展的美式看跌期权定价方法。
There exists a non-closed formula for the American put option price and non-trivial computations are required to solve it. Strong efforts have been made to propose efficient numerical techniques but few have strong mathematical reasoning to ascertain why they work well. We present an extension of the American put price aiming to catch weaknesses of the numerical methods based on their non-fulfillment of the smooth pasting condition.