Optimal Exercise for Derivative Securities

Posted: 25 Nov 2014

See all articles by Jerome Detemple

Jerome Detemple

Boston University - Department of Finance & Economics; Center for Interuniversity Research and Analysis on Organization (CIRANO)

Date Written: December 2014

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

Detemple, Jerome, Optimal Exercise for Derivative Securities (December 2014). Annual Review of Financial Economics, Vol. 6, pp. 459-487, 2014. Available at SSRN: https://ssrn.com/abstract=2530442 or http://dx.doi.org/10.1146/annurev-financial-110613-034241

Jerome Detemple (Contact Author)

Boston University - Department of Finance & Economics ( email )

595 Commonwealth Avenue
Boston, MA 02215
United States
(617) 353-4297 (Phone)
(617) 353 6667 (Fax)

Center for Interuniversity Research and Analysis on Organization (CIRANO)

2020 rue University, 25th Floor
Montreal, Quebec H3C 3J7
Canada

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