All Questions
Tagged with american-options hedging
7 questions
-3
votes
1
answer
379
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Option price in a neutral risk world is the same as in the real world. I can not understand! [closed]
Good evening. I know there are several posts on the subject but unfortunately I can not fully understand this concept and I hope you can help me.
To price the option the fundamental assumption ...
- 133
2
votes
0
answers
231
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Relative Value Trading of American Style Options on Futures, Calcuating hedging ratios?
I am interested in Relative Value Trading of American style options on futures and have not found a whole lot of literature on it. The best resource I have discovered so far is a few pages in Colin ...
- 21
2
votes
0
answers
557
views
Constructing a hedging strategy for an American option
Question:
Consider the following model, where $r=0$, and a dividend of 1 unit of currency is paid at time 1.5.
$$
\begin{array}{|c|c|c|c|}
\hline
& S(0,\omega) & S(1,\omega)^* & S(2,\...
- 21
2
votes
3
answers
536
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Who Uses American Options?
...in other words, why would a person want to have the right to exercise an option early? What advantage does that really give you? Are Euro-style options not good enough for some people? Who are ...
- 123
5
votes
1
answer
5k
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How can one value a Bermudan option?
A Bermudan option allows early exercise at predefined dates, e.g. at maturity equal to $t_1$, $t_2$, $t_3$,...;
hence , would its value be the sum of 3 discounted European options with 1-year ...
- 5,835
1
vote
1
answer
343
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Hedging behind the decomposition of american put options
Now I'm reading a paper:"alternative characterizations of american put options" , the authors are Carr,Jarrow,Myneni
http://www.math.nyu.edu/research/carrp/papers/pdf/amerput7.pdf
After theorem 1 (...
- 257
8
votes
0
answers
319
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American Swaption Heding with Malliavin Calculus
Hedging American Swaption
Hello, I priced an American swaption using Black model with swap rates diffusion to find the european (call) price at t.
$$ C_t = (\delta \sum_{j=n+1}^{M+1} Z_t^{T_j})[R(t,...
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