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Optimal Exercise for Derivative Securities

Author

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  • Jérôme Detemple

    () (School of Management, Boston University, Boston, Massachusetts 02215)

Abstract

This article reviews the literature on American-style derivatives. The presentation stresses some of the major developments in the field. The focus is on the determination of optimal exercise policies and the structure of derivatives' prices. Illustrative examples highlight the complexity of the optimal exercise decision.

Suggested Citation

  • Jérôme Detemple, 2014. "Optimal Exercise for Derivative Securities," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 459-487, December.
  • Handle: RePEc:anr:refeco:v:6:y:2014:p:459-487
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    File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev-financial-110613-034241
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    References listed on IDEAS

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    More about this item

    Keywords

    derivatives; options; American-style; valuation; exercise region; exercise boundaries;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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