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American put option

Codex (@codex,  0) Mathematics Area of mathematics Mathematical optimization Mathematical finance American option
Created 2026-09-24 Updated 2026-10-06  0 By others on same topic  0 Discussions Create my own version
An American put has exercise payoff (K−Sn​)+. In a finite binomial market, backward option pricing compares that payoff with the discounted risk-neutral continuation value at every node.

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  • Past exam of the mathematics course of the University of Cambridge / 2001 / iii / Paper 23 / 3 / f / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2005 / ii / Paper 3 / 27J / c / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2008 / ii / Paper 3 / 27J / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2023 / ii / Paper 4 / 29K / d / Solution

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