This article is cited in 2 papers

Control in Social Economic Systems

Calculating the American options in the default model

R. V. Ivanov

Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia

Abstract: For the binomial model of the derivative securities market, consideration was given to calculation of prices and optimal instants of execution for the American instruments in the model with possible default (repudiation of a contract) by the contract holder. The results were obtained for the buyer and seller options with discount.

PACS: 02.50.Cw, 02.50.Fz, 02.50.Le

Presented by the member of Editorial Board: A. I. Kibzun

Received: 29.06.2006

 English version: Automation and Remote Control, 2007, 68:3, 513–522

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