Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5099187 | Journal of Economic Dynamics and Control | 2009 | 26 Pages |
Abstract
This paper examines the valuation of American chooser options, i.e., American-style contracts written on the maximum of an American put and an American call. The structure of the immediate exercise region is examined. The early exercise premium representation of the chooser's price is derived and used to construct a system of coupled recursive integral equations for a pair of boundary components. Numerical implementations of the model based on this system are carried out and used to examine the boundary properties and the price behavior.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Jérôme Detemple, Thomas Emmerling,