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A note on American options with varying exercise price
Published online by Cambridge University Press: 17 February 2009
Abstract
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We examine the valuation of American options in a discrete time setting where the exercise price is known a priori but varies with time. (This is in contrast with the classical Black-Scholes [2] analysis, which lies in a continuous time framework and with constant exercise price.) In particular we consider a time series of exercise prices which are themselves a realisation of the share price random walk — that of the previous year, say.
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- Copyright © Australian Mathematical Society 1995
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