Table 1 The function f of the generated cash-flow in case of the option early exercise or not
From: Early exercise premium method for pricing American options under the J-model
CALL | PUT | |
|---|---|---|
S ≤ S* | f(S, τ) = 0 | f(S, τ) = rK − QS |
S > S* | f(S, τ) = QS − rK | f(S, τ) = 0 |