Report on "American Option Pricing and Hedging Strategies"

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dc.creatorZhang, Jinshan
dc.date2007-11-27
dc.date.accessioned2026-07-07T08:45:25Z
dc.date.available2026-07-07T08:45:25Z
dc.descriptionThis paper mainly discusses the American option's hedging strategies via binomialmodel and the basic idea of pricing and hedging American option. Although the essential scheme of hedging is almost the same as European option, small differences may arise when simulating the process for American option holder has more rights, spelling that the option can be exercised at anytime before its maturity. Our method is dynamic-hedging method.
dc.description14pages
dc.identifierhttps://arxiv.org/abs/0711.4324
dc.identifierhttp://arxiv.org/abs/0711.4324
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/142959
dc.subjectComputational Engineering, Finance, and Science
dc.subjectDiscrete Mathematics
dc.subjectG.3
dc.titleReport on "American Option Pricing and Hedging Strategies"
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