American call option minimum value. The call option is worthless if the value of the asset is $ 10 or less. Quite clearly, the value of the option is directly variable with the price of the asset. As the . Hence, the minimum value of the option should be (discounted value of minus the present prevailing price). Put-call Parity: Both put and call options take a.

American call option minimum value

Value of Option Prior to Expiration

American call option minimum value. Now we find that there are two components to an in-the-money call option's minimum value (we'll learn in Chapter Five that there is a third). The first is that all in-the-money call options must be worth the intrinsic value, or S – E. The second is that their value must also include the present value of the interest.

American call option minimum value


This paper examines the valuation of call options on the minimum of two dividend-paying assets. We show that the optimal exercise boundary consists of three components, two continuous curves and one component along the diagonal with empty interior. The option price is shown to satisfy the early exercise premium representation in which the gains from exercise involve the local time of the minimum of the two underlying asset prices.

A system of recursive integral equations for the exercise boundary components is derived. Using a class of simple stopping times we also construct lower and upper bounds for the American call min-option price: Volume 13, Number 3 , Permanent link to this document https: Zentralblatt MATH identifier Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60] 62L Optimal stopping [See also 60G40, 91A60]. Keywords Option valuation calls American-style minimum of two assets dividends exercise premium local time lower and upper bounds numerical computation.

The valuation of American call options on the minimum of two dividend-paying assets. More by Jerome Detemple Search this author in: Google Scholar Project Euclid. More by Shui Feng Search this author in: More by Weidong Tian Search this author in: Abstract Article info and citation First page References Abstract This paper examines the valuation of call options on the minimum of two dividend-paying assets. Article information Source Ann. Dates First available in Project Euclid: Optimal stopping [See also 60G40, 91A60] Keywords Option valuation calls American-style minimum of two assets dividends exercise premium local time lower and upper bounds numerical computation Citation Detemple, Jerome; Feng, Shui; Tian, Weidong.

Download Email Please enter a valid email address. American capped call options on dividend-paying assets. New bounds, approximations, and a comparison of existing methods. The valuation of American options on multiple assets. You have access to this content. You have partial access to this content. You do not have access to this content.

Darrell and Harrison, J. Michael, The Annals of Applied Probability,


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