Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10008909153
The value of American options depends on the exercise policy followed by option holders. Market frictions, risk aversion, or a misspecified model, for example, can result in suboptimal behavior. We study the sensitivity of American options to suboptimal exercise strategies. We show that this...
Persistent link: https://www.econbiz.de/10009645033
Persistent link: https://www.econbiz.de/10008848152