American options give holder a right to exercise it at any time at will, the holder should to make the exercise plicy in such a way that the expected payoff from the option will be maximized,In this note we prove that...American options give holder a right to exercise it at any time at will, the holder should to make the exercise plicy in such a way that the expected payoff from the option will be maximized,In this note we prove that it is equivalent to a fact which makes the option value and option delta continumous.展开更多
文摘American options give holder a right to exercise it at any time at will, the holder should to make the exercise plicy in such a way that the expected payoff from the option will be maximized,In this note we prove that it is equivalent to a fact which makes the option value and option delta continumous.
