Finding the optimal exercise time for American warrants on WIG20 futures (Wyznaczanie optymalnego momentu wykonania warrantów amerykańskich na kontrakty futures na indeks WIG20)
AbstractUsing dynamic programming techniques the optimal exercise time for American warrants on WIG20 futures is found.
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Bibliographic InfoPaper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/04/01.
Length: 10 pages
Date of creation: 2004
Date of revision:
American warrants; WIG20 index; optimal exercise time;
Find related papers by JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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