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Market-Consistent Prices for American Options

In: Market-Consistent Prices

Author

Listed:
  • Pablo Koch-Medina

    (University of Zurich, Department of Banking and Finance)

  • Cosimo Munari

    (University of Zurich, Department of Banking and Finance)

Abstract

This chapter is devoted to extending the theory of market-consistent prices to American options. These are contracts that are specified by a stream of nonnegative payoffs and have the following special feature: At any date during the lifetime of the contract, the holder can either exercise the option to receive the payment specified for that date, giving up all future payoffs, or maintain the option to exercise later, giving up the payment specified for that date. This additional optionality makes dealing with American options a more subtle enterprise than dealing with plain payoff streams.

Suggested Citation

  • Pablo Koch-Medina & Cosimo Munari, 2020. "Market-Consistent Prices for American Options," Springer Books, in: Market-Consistent Prices, chapter 19, pages 343-411, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-39724-1_19
    DOI: 10.1007/978-3-030-39724-1_19
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