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Optimal Exercise for Derivative Securities
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DOI：10.1146/annurev-financial-110613-034241.png)
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Abstract
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This article reviews the literature on American-style derivatives. The presentation stresses some of the major developments in the field. The focus is on the determination of optimal exercise policies and the structure of derivatives' prices. Illustrative examples highlight the complexity of the optimal exercise decision.
Keywords:
derivatives
options
American-style
valuation
exercise region
exercise boundaries
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5.2
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