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15 صفحه اولComputational Finance – Pricing The American Option
Recall that the American option has strike K and maturity T and gives the holder the right to exercise at any time in [0, T ]. The American option is not straightforward to price in the Monte Carlo framework that we have discussed. The reason is that the derivative cash flow function f(S, t) is not well defined. The problem is that we cannot compute the derivative cash flow until we know how th...
متن کاملOption Pricing in the Presence of Operational Risk
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 1992
ISSN: 1050-5164
DOI: 10.1214/aoap/1177005768