Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/83763 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
Working Papers No. 2009-06
Verlag: 
Banco de México, Ciudad de México
Zusammenfassung (übersetzt): 
We give a new way to price American options, using Samuelson's formula. We first obtain the option price corresponding to a European option at time t, weighting it by the probability that the underlying asset takes the value S at time t. This factor is given by the solution of the Fokker-Planck (Kolmogorov) equation for the transition probability density. The main advantage of this approach is that we can introduce systematically the effect of macroeconomic factors. If a macroeconomic framework is given by a dynamic system in the form of a set of ordinary differential equations we only have to solve a partial differential equation, for the transition probability density. In this context, we verify, for the sake of consistency, that this formula is consistent with the Black-Scholes model.
Schlagwörter: 
american options
Fokker-Planck
Black-Scholes
Samuelson
density probability function
Dokumentart: 
Working Paper
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