Closed-form American Options Pricing Models on Foreign Assets
Yongxin Yan · Current Journal of Applied Science and Technology · 2015
The closed-form solution for European options on foreign assets did not consider the impact of strike price volatility. Therefore, these models overestimate the value of European options [1,2]. Using the pricing relationships among European, American and Bermudan option proposed...
Open access
Research Article
10.9734/BJAST/2015/18835