Optimal Choice Models for Executing Time to American Options
AbstractBased on the structure models of options pricing on non-dividend-paying stock , this paper presents the choosing models and methods of optimal time of executing an American options for the first time. By using the models and methods, we can find the choosing criterion and optimal time to exercise the American options, i.e. the product of options price and its occurring probability is at maximum. So we can decide that an American option should be exercised or not in any time. The conclusions in this paper are more important in its consulting effect for single trader and organization investors to make their security market trade.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0412016.
Length: 10 pages
Date of creation: 10 Dec 2004
Date of revision:
Note: Type of Document - pdf; pages: 10
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partial distribution; American options; structure pricing; optimal executing; analytic formula;
Find related papers by JEL classification:
- G - Financial Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-12-20 (All new papers)
- NEP-FIN-2004-12-20 (Finance)
- NEP-FIN-2004-12-22 (Finance)
- NEP-RMG-2004-12-20 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Df Structure Models For Options Pricing,"
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