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1 American Options - NYU Courant
Strategy 2: Wait till just before the ex-dividend date, and exercise for sure (even if out-of-money) (the value)2 = Sc(t)−K where Sc(t) is the cum stock price just before going ex-dividend. Therefore, the present value is S(0) −KB(0,t) Since B(0,t) <1, the value of Strategy 2 >the value of Strategy 1 therefore, it is best to wait.
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Chapter 5 Martingales. - New York University
www.math.nyu.edun of random variables and corre-sponding sub σ-fields F 1,F 2,···,F n that satisfy the following relations 1. Each X i is an integrable random variable which is measurable with re-spect to the corresponding σ-field F i. 2. The σ-field F i are increasing i.e. F i⊂F i+1 for every i. 3.
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