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Paper / 2026SMQ / 223358284406608
If Not Now, Then When? Model Risk in the Optimal Exercise of American Options
Erik Schlögl / Luna Rigby / Rüdiger Frey
model risk / option pricingResource overview

If Not Now, Then When? Model Risk in the Optimal Exercise of American Options

Paper2026

by Erik Schlögl, Luna Rigby, Rüdiger Frey

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model riskoption pricing

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

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  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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