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Questions tagged [american]

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2
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0answers
161 views

American put option in binomial model - arbitrage opportunity?

I'm sorry this must be an elementary question. I spent a good deal of time searching through webs including this site for the problem but I got none. Here's the problem: Say we have a binomial tree ...
1
vote
0answers
55 views

Prove that the value of a perpetual American put is time-independent

I know that the value of a perpetual American put is time-independent. I think it is very intuitive property and it results from the fact that we do not have any expiry date. My question is: Is it ...
1
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0answers
41 views

Sub-Optimal exercise

I have seen exercise multiples applied to account for sub-optimal exercise of American style options in the case of employee share schemes (as the employees are irrational). I would like to know if ...
4
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1answer
850 views

Why is there a difference in American option prices when comparing pricing methods (Python)?

I have written a Python script to price American options using Least Squares Monte Carlo and added a QuantLib implementation below (analytical/binomial/finite difference) to compare. The problem is ...
2
votes
2answers
484 views

Why it is not possible to price American perpetual call option using PDE approach?

Using a standard PDE approach to price an American perpetual put option I obtain that the price of such option has the following form: $$ V(S) = A S + B S^{-2r/\sigma^2}. $$ And then I need to find a ...
0
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1answer
60 views

Are perpetual american options traded on real stock exchanges?

I am looking for any information about perpetual american options from practical point of view? Are they traded on stock exchanges? Do investment banks deal with such products?
0
votes
0answers
76 views

Where can I get alerts for future delisting of stocks/ETFs?

I scan / trade a universe of 1500 different European and US stocks and ETFs trading on many different exchanges. I would like to get notified before any of the tickers are delisted, so I can sell ...
2
votes
1answer
2k views

Pricing American Put Options via Binomial Tree in Matlab

I currently am completing a Computational Finance Assignment, and am trying to figure out how to alter this Matlab code which prices a European put or call option, in order to price an American Put ...
2
votes
2answers
167 views

European vs American derivative securities, interesting question

Let us denote by $c^A(t, S(t))$ the price, at time $t$ of a certain American-style derivative security, whose instrinsic value, at time $t$ is denoted by $V(t)$.From the no-arbitrage principle, we ...
1
vote
0answers
105 views

Las vegas method?

In one of his winning paper, backward induction for future values, A. Antonov, quant of the year 2016, refer to the American Monte-Carlo method as the Las Vegas method. Is this name used appart from ...