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Chapter 4. AMERICAN OPTIONS

In: Exotic Options A Guide to Second Generation Options

Author

Listed:
  • Peter G. Zhang

    (Vice-President, Capital Markets Research, Chase Manhattan Bank, USA)

Abstract

The following sections are included:AMERICAN OPTIONSTHE BINOMIAL MODELThe Single-Period Binomial ModelThe Multiperiod Binomial ModelPRICING AMERICAN OPTIONS IN THE BINOMIAL MODELThe Backward MethodPricing American OptionsNumber of Periods and Calculating TimeConvergence From the Binomial Model to the Black-Scholes ModelA Pricing Method for Both American and European Options Incorporating LiquidityAN ANALYTICAL APPROXIMATIONSUMMARYQUESTIONS AND EXERCISESQuestionsExercises

Suggested Citation

  • Peter G. Zhang, 1997. "Chapter 4. AMERICAN OPTIONS," World Scientific Book Chapters, in: Exotic Options A Guide to Second Generation Options, chapter 4, pages 89-110, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814532921_0004
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