Calculating the American options in the default model

被引：0
|
作者：
R. V. Ivanov
机构：
[1] Russian Academy of Sciences,Trapeznikov Institute of Control Sciences
来源：
Automation and Remote Control | 2007年 / 68卷
关键词：
02.50.Cw; 02.50.Fz; 02.50.Le;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
For the binomial model of the derivative securities market, consideration was given to calculation of prices and optimal instants of execution for the American instruments in the model with possible default (repudiation of a contract) by the contract holder. The results were obtained for the buyer and seller options with discount.
引用
收藏
页码：513 / 522
页数：9
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