The American options generalize the European options in the sense that they can be exercised at any moment prior to maturity. They are part of the more general category of American-type derivatives that we shall define in Subsection 3.1 as a sequence X = (Xn) of random variables that are adapted to a given filtration (Fn), typically generated by the prices of the underlyings. The value of Xn is the premium/payoff paid to the holder of the derivative if he/she exercises the option at time tn.
Pascucci A., Runggaldier W.J. (2012). American options. Berlino : Springer-Verlag Italia s.r.l. [10.1007/978-88-470-2538-7_3].
American options
Pascucci A.;
2012
Abstract
The American options generalize the European options in the sense that they can be exercised at any moment prior to maturity. They are part of the more general category of American-type derivatives that we shall define in Subsection 3.1 as a sequence X = (Xn) of random variables that are adapted to a given filtration (Fn), typically generated by the prices of the underlyings. The value of Xn is the premium/payoff paid to the holder of the derivative if he/she exercises the option at time tn.File in questo prodotto:
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