To the best of our knowledge, IMEX-PC methods have not been used to price financing options, except in  where a second-order IMEX-PC scheme is used to price American options
At each date, IV is chosen to minimize the unweighted sum of squared deviations of Baronep-Adesi and Whaley's (1987) formula for pricing American options
on futures with the actual settlement prices for the two nearest-to-the-money call options and two nearest-to-the-money put options for the appropriate futures contract.
The Philadelphia Stock Exchange currently trades both European and American options
The option to transfer funds is like an American option
that could be exercised at any time the policyholder believes it is in his interest.
Bunch and Johnson  modified the Geske and Johnson  approach to approximate the American option
values, using only the value of a European option ([P.
For example, Evnine and Rudd (1985) use intraday data for a two-month period in 1984 and find frequent violations of boundary conditions and put-call parity for S&P 100 and Major Market index options, both of which are American options
The next section further discusses the American option
element of the interest rate guarantee.
Courtadon, 1987, Tests of American Option
Pricing Models in the Foreign Exchange Markets, Journal of Financial and Quantitative Analysis, 22: 153-167.
Second, one must keep in mind that, as with American options
, the surrender option on a policy has a greater value than the supremum of the values of the corresponding European option for different possible exercise dates.
Nevertheless, in other markets, the Black-Scholes formulas for European options are widely used as approximations to prices of American options
Designed to meet the unique position, risk and operations management requirements of physical oil professionals, ASPect office supports a wide range of deal types, including: physical, future, EFP, swap, European option, American Option
and Open spec.
My article about economic integration and American options
for Russia's aggressive moves in Ukraine brought reactions from a Worcester entrepreneur with friends in Russia as well as from a Silicon Valley venture capitalist.