m******t
发帖数: 4077 | 1 如果interest rate r=0, early exercise还可能是optimal的吗？ | d*****r
发帖数: 2583 | 2 那必须是nominal rate=0...
【在 m******t 的大作中提到】
: 如果interest rate r=0, early exercise还可能是optimal的吗？
| c**a
发帖数: 316 | 3 我觉得 American call 不会提早 Excercise 的命题 是基于内在 equity 价格
具有 markov 性.
但是 内在 security 不一定具有 markov 性啊.
比如 股票现在涨了 然后又掉了, 那不如早点行权, 买了再卖掉赚一笔先.
【在 m******t 的大作中提到】
: 如果interest rate r=0, early exercise还可能是optimal的吗？
| k****z
发帖数: 550 | 4 自然，整个black-scholes model都是基于markov性。如果不是markov，就有很多
adjustment可以讨论了。有时面试也会碰到这种问题。 | c**a
发帖数: 316 | 5 谢谢.
说明我不是太笨.
【在 k****z 的大作中提到】
: 自然，整个black-scholes model都是基于markov性。如果不是markov，就有很多
: adjustment可以讨论了。有时面试也会碰到这种问题。
| l********e
发帖数: 349 | 6 不是很同意下面的说法：
1）MARKOV PROPERTY COMES FROM BROWNIAN MOTION ASSUMPTION IN B-S MODEL
2)WITHOUT b-s , we still know it's not optimal to excercise early by simple
logic. If you believe stock will be up, then you'd better keep the call
since it goes up faster than stock and you pocket the interest. If you
believe the stock will fall, you will be better off by selling the call
since call's price> intrinsic value (which you get from excercising)
Correct me if I am wrong. Thanks. | m******t
发帖数: 4077 | 7 no, I think american call no advantage in early exercise is due to there is
no arbitrage opportunity, the examples in Hull's book is clear, it has no
relationship to markovian property of the underline equity.
But for put, I don't really know.
【在 c**a 的大作中提到】
: 我觉得 American call 不会提早 Excercise 的命题 是基于内在 equity 价格
: 具有 markov 性.
: 但是 内在 security 不一定具有 markov 性啊.
: 比如 股票现在涨了 然后又掉了, 那不如早点行权, 买了再卖掉赚一笔先.
| a*****g
发帖数: 22 | 8 when r=0, American put is optimal to wait till maturity.
eg.
At some point it is 50, the next step it can be 55 or 45 with 50% 50% chance.
If K>=55, you are expected to make 1/2[(K-55)+(K-45)]=K-50 on that next step
, so wait or exercise give the same result.
If 45 K-50, you should wait.
... In all cases, wait can only be better.
【在 m******t 的大作中提到】
: 如果interest rate r=0, early exercise还可能是optimal的吗？
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