| dc.contributor.author | Aase, Knut K. | |
| dc.date.accessioned | 2006-07-16T17:51:38Z | |
| dc.date.available | 2006-07-16T17:51:38Z | |
| dc.date.issued | 1997-12 | |
| dc.identifier.issn | 1500-4066 | |
| dc.identifier.uri | http://hdl.handle.net/11250/164091 | |
| dc.description | Early version in Proceedings of the First Symposium on Mathematics of Finance, pp.54-73. December 8-12, 1997, Gaborone, Botswana. Editor: E. M. Lungu.
PUBLISHED as: American Derivatives - A Continous-Time Model in The Current State of Business Diciplines, Volume 3: Finance, pp. 1019-1038 (2000), Spellbound Publications. Editor: S.B. Dahiya, Rohtak, India. | en |
| dc.description.abstract | The paper gives an overview over the theory of pricing and hedging financial derivatives that can be exercised at any time during a fixed time interval [0, T]. The analysis makes use of the theory of optimal stopping, and as such it constitutes an interesting application of probability theory to the theory of financial economics.
In this paper we concentrate on the main principles involved only, which means, for example, that we abstract from derivatives where the underlying asset pays out dividends. | en |
| dc.format.extent | 223068 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.language.iso | eng | en |
| dc.publisher | Norwegian School of Economics and Business Administration. Department of Finance and Management Science | en |
| dc.relation.ispartofseries | Discussion paper | en |
| dc.relation.ispartofseries | 1998:3 | en |
| dc.subject | optimal exercise policy | en |
| dc.subject | american put option | en |
| dc.subject | perpetual option | en |
| dc.subject | optimal stopping | en |
| dc.subject | superhedging | en |
| dc.title | American derivatives : a review | en |
| dc.type | Working paper | en |
