Chockalingam, Arun; Feng, Haolin - In: European Journal of Operational Research 243 (2015) 3, pp. 883-896
The optimal-exercise policy of an American option dictates when the option should be exercised. In this paper, we consider the implications of missing the optimal exercise time of an American option. For the put option, this means holding the option until it is deeper in-the-money when the...
