American chooser options

被引：8
|
作者：
Detemple, Jerome [1 ]
Emmerling, Thomas [2 ]
机构：
[1] Boston Univ, Sch Management, Boston, MA 02215 USA
[2] Boston Univ, Dept Math, Boston, MA 02215 USA
来源：
JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2009年 / 33卷 / 01期
关键词：
American chooser options; Exercise region; Early exercise premium; Integral equations; VALUATION;
D O I：
10.1016/j.jedc.2008.05.004
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper examines the valuation of American chooser options, i.e., American-style contracts written on the maximum of an American put and an American call. The structure of the immediate exercise region is examined. The early exercise premium representation of the chooser's price is derived and used to construct a system of coupled recursive integral equations for a pair of boundary components. Numerical implementations of the model based on this system are carried out and used to examine the boundary properties and the price behavior. (c) 2008 Elsevier B.V. All rights reserved.
引用
收藏
页码：128 / 153
页数：26
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