The Analytic Valuation of American Options
针对期货和外汇上的美式期权，提出了一种解析估值公式，并探讨了最优行权边界的性质，附有数值实现方法。
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 American option valuation problem in economically and mathematically meaningful ways. This enables us to derive valuation formulas for American options. The properties associated with the optimal exercise boundary are examined, and a numerical technique to implement the valuation formulas is presented.