2013
DOI: 10.1016/j.jeconom.2012.10.002
|View full text |Cite
|
Sign up to set email alerts
|

Semi-parametric estimation of American option prices

Abstract: An American option provides the right to perform a specified financial transaction (sell, buy, exchange) on or before the contract maturity. Many different contracts traded on centralized and OTC markets are of this kind. In particular, a plain vanilla American option is a contract between two parties concerning the possibility of selling or buying a reference asset (underlying) at a specified price (strike price). Setting the contract price and choosing the best moment for its exercise are two of the most stu… Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...

Citation Types

0
0
0

Year Published

2018
2018
2022
2022

Publication Types

Select...
5

Relationship

1
4

Authors

Journals

citations
Cited by 7 publications
references
References 87 publications
0
0
0
Order By: Relevance