American Step Options


This paper examines the valuation of American knock-out and knock-in step options. The structures of the immediate exercise regions of the various contracts are identified. Typical properties of American vanilla calls, such as... [ view full abstract ]


  1. Souleymane Laminou Abdou (Boston University, Questrom School of Business)
  2. Jerome Detemple (Boston University, Questrom School of Business)
  3. Franck MORAUX (University Rennes 1, IGR-IAE & CREM)

Topic Areas

Optimal Stopping , Options , Stochastic Analysis


FR-A-UI » American-style derivatives (10:00 - Friday, 20th July, Ui Chadhain)

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