While the valuation of standard American option contracts has now
achieved a fair degree of maturity, much work remains to be done
regarding the new contractual forms that are constantly emerging in
response to evolving economic conditions and regulations. Focusing
on recent developments in the field, American-Style Derivatives
provides an extensive treatment of option pricing with an emphasis
on the valuation of American options on dividend-paying assets. The
book begins with a review of valuation principles for European
contingent claims in a financial market in which the underlying
asset price follows an Ito process and the interest rate is
stochastic and then extends the analysis to American contingent
claims. In this context the author lays out the basic valuation
principles for American claims and describes instructive
representation formulas for their prices. The results are applied
to standard American options in the Black-Scholes market setting as
well as to a variety of exotic contracts such as barrier, capped,
and multi-asset options. He also reviews numerical methods for
option pricing and compares their relative performance. The author
explains all the concepts using standard financial terms and
intuitions and relegates proofs to appendices that can be found at
the end of each chapter. The book is written so that the material
is easily accessible not only to those with a background in
stochastic processes and/or derivative securities, but also to
those with a more limited exposure to those areas.
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