# Questions tagged [american]

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### Expected date of exercise - American put

I am interested in an analytic or computational estimate of the expected date of exercise of an American put. Are there research papers (or discussions on this site) estimating the expected date upon ...
• 246
1 vote
420 views

### Pricing an American FX Option using Quantlib

I need some guidance on valuing American style FX options (spots and forwards) using quantlib in Python. Given the following parameters: Domestic and foreign risk-free rates Current market spot and ...
• 113
240 views

### probability of exercise

I am pricing a bermudan call option using finite difference method. At each exercise time on the grid I have points I exercise and on some of those I don't. Thus, at any given call time there is a ...
• 493
782 views

I just want to know if there is an analytical solution about FX American forward. I recently get a solution that computes price for each τ-maturity forward contract and then take a maximum price. So, ...
61 views

### american option confusion

I've coded up a binomial tree version of the "Known Dollar Dividend" part of section 21.3 of Hull 10th Edition. I reproduce the answer in the book's example and also reproduce correctly a ...
374 views

### Quantlib specify contract duration instead of dates

I use the following code in Python to price American put/call options. It's simple code since I'm new to using Quantlib. I would like to specify the contract duration (i.e. ...
• 57
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### 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 ...
• 21
1 vote
215 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 ...
• 153
62 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 ...
• 33
2k 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 ...
• 187
2k 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 ...
• 153
144 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?
• 153
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### 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 ...
• 101
4k 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 ...
287 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 ...
• 666
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