Stabsseminar ved Institutt for foretaksøkonomi

Petter Bjerksund og Gunnar Stensland holder stabsseminar ved Institutt for foretaksøkonomi fredag 25. oktober.

24.10.2002 - Anette W. Petersen

Tema: Approximating the Value of American Options

Tid: Fredag 25. oktober, kl. 12.15-13.30

Sted: Karl Borch's Aud.

Abstract:
This paper presents a simple and intuitive approximation of the American call and put value. The approximation generalizes the Bjerksund-Stensland model by dividing time to maturity into two periods, each with a flat early exercise boundary. By imposing a feasible but non-optimal exercise strategy, a lower bound to the true option value is obtained. Numerical investigations indicate that the method represents an accurate and extremely computer efficient approximation to the American option value.

Paper er tilgjengelig på instituttets hjemmeside.

Kontaktpersoner:
Petter Bjerksund (59548), Gunnar Stensland (59604), Hans K. Hvide (59283).