qlAmericanExercise – create an American style exercise object

American options can be exercised on any, at the choice of the holder, date during a range of dates. The qlAmericanExercise function creates an Exercise object which can be used to define an American style option.

Usage:

=qlAmericanExercise(<ObjPrefix>, <FirstDate>, <LastDate>,
                    <PayoffAtExpiry>)

<ObjPrefix>

Optional prefix for names of objects created with this function

<FirstDate>

The first date on which the option using this exercise object can be exercised

<LastDate>

The last date on which the option using this exercise object can be exercised

<PayoffAtExpiry>

Boolean value, which if true means that the option exercise cashflow (pay-off) happens on the <LastDate> regardless of when the option was exercised. False by default. (Note that some pricing engines do not handle the option PayoffAtExpiry and will report an error if this option is set to true).

See Valuing an American Equity Option for an example of use of this function.