This paper examines the valuation of American knock-out and knock-in step options. The
structures of the immediate exercise regions of the various contracts are identified. Typical …

In this paper, we propose a general method for pricing and hedging non-standard American
options. The proposed method applies to any kind of American-style contract for which the …

We examine the early exercise policies and pricing behaviors of one-asset American
options with lookback payoff structures. The classes of option models considered include …

The holder of a barrier option acquires option coverage on only a subset of the risky
outcomes for which a plain vaniUa option pays off; this reduces the cost of the resulting …

We address the pricing of American straddle options. We use a technique due to Kim (1990)
to derive an expression involving integrals for the price of such an option close to expiry. We …

The so‐called American strangle options are examined in this paper. Their main
characteristic is the combined put and call feature. The holder has the right to exercise …

This paper presents a simple and intuitive approximation of the American call and put value.
The approximation generalizes the Bjerksund-Stensland model by dividing time to maturity …

We extend the binary options into barrier binary options and discuss the application of the
optimal structure without a smooth-fit condition in the option pricing. We first review the …

American options give us the possibility to exercise them at any moment of time up to
maturity. An optimal stopping domain for American type options is a domain that, if the …

No analytic solution exists for the valuation of American options written on futures contracts
and foreign currencies for which early exercise may be optimal. This article formulates the …