Hi,
> 2) American Put Option Price in finite time horizon
> Somebody (Kirill Ilinski if I remember correctly) told me
> that there exists a pricing formula for American Put
> even in the case with FINITE TIME HORIZON.
> I would like to have a reference,
> possibly where the hypothesis and the final formula are
> written in an "easy readable" way
> (I'm not interested in the derivation).
I have been talking about infinite time horizon.
There many papers on analytics for American options
with finite expiration but, as far as I know, no exact solution.
regards,
kirill
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