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Finding the optimal exercise time for American warrants on WIG20 futures (Wyznaczanie optymalnego momentu wykonania warrantów amerykańskich na kontrakty futures na indeks WIG20)


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  • Bartosz Stawiarski
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    Using dynamic programming techniques the optimal exercise time for American warrants on WIG20 futures is found.

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    File Function: Draft, 2004 (in Polish)
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    Bibliographic Info

    Paper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/04/01.

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    Length: 10 pages
    Date of creation: 2004
    Date of revision:
    Handle: RePEc:wuu:wpaper:hsc0401

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    Related research

    Keywords: American warrants; WIG20 index; optimal exercise time;

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