Title   name
KSIAM 2006 Annual Meeting
 
  Title
  Speaker   Byun, Suk-Joon  
  Date 2006-11-24
  Host
  Place 건국대학교
  File  의 1 번째 Real Media 동영상입니다. 의 1 번째 강연자료입니다.
 
Abstract : Kim (1990), Jacka (1991), and Carr, Jarrow, and Myneni (1992) showed that American optionprice is equal to the corresponding European option price plus an integral representing theearly exercise premium. While the American option price has an explicit representation, theoptimal exercise boundary is implicitly defined by a nonlinear integral equation. This articlestudies the properties of integral equations arising in the valuation of American options.Based on the properties of integral equations, this article also presents a series of closed formupper bounds for the optimal exercise boundary.