Binomial option pricing and the conditions for early exercise: An example using foreign exchange options
Citation:
Breen, Richard. 'Binomial option pricing and the conditions for early exercise: An example using foreign exchange options'. - Economic & Social Review, Vol. 21, No. 2, January, 1990, pp. 151-161, Dublin: Economic & Social Research InstituteDownload Item:
Abstract:
In this paper arc derived simple and general conditions under which the value of an American option will exceed that of its European counterpart. These conditions are developed using the binomial option pricing framework. The derivation is motivated and illustrated by the example of foreign exchange options.
Author: Breen, Richard
Publisher:
Economic & Social StudiesType of material:
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Full text availableKeywords:
binomial option pricing, foreign exchange, America, EuropeISSN:
0012-9984Metadata
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