Goldenberg, David H. - In: International Journal of Financial Markets and Derivatives 1 (2009) 1, pp. 5-40
American put option prices. The literature has focused only on pricing error. However, early exercise is the essence of … American option pricing (exercising) and with it comes the possibility of early exercise error and its opportunity costs. I … equation and motivates pure pricing error. This provides new intuition for the optimality condition for early exercise. Early …