Abstract
This chapter is devoted to extending the theory of market-consistent prices to American options. These are contracts that are specified by a stream of nonnegative payoffs and have the following special feature: At any date during the lifetime of the contract, the holder can either exercise the option to receive the payment specified for that date, giving up all future payoffs, or maintain the option to exercise later, giving up the payment specified for that date. This additional optionality makes dealing with American options a more subtle enterprise than dealing with plain payoff streams.
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A transcript of the interview can be downloaded from Robert Merton’s webpage robertcmerton.com/wp-content/uploads/2018/03/Samuelson-Interview.pdf.
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Koch-Medina, P., Munari, C. (2020). Market-Consistent Prices for American Options. In: Market-Consistent Prices. Birkhäuser, Cham. https://doi.org/10.1007/978-3-030-39724-1_19
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DOI: https://doi.org/10.1007/978-3-030-39724-1_19
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Publisher Name: Birkhäuser, Cham
Print ISBN: 978-3-030-39722-7
Online ISBN: 978-3-030-39724-1
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