The valuation of American options in a multidimensional exponential Lévy model
| Autor: | Andrzej Rozkosz, Tomasz Klimsiak |
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| Rok vydání: | 2017 |
| Předmět: |
Computer Science::Computer Science and Game Theory
Economics and Econometrics Applied Mathematics Probability (math.PR) 010102 general mathematics Stochastic game 91G20 (Primary) 60H30 (Secondary) 01 natural sciences Exponential function 010104 statistics & probability Stochastic differential equation Accounting Bellman equation Variational inequality Obstacle problem FOS: Mathematics Optimal stopping 0101 mathematics Mathematical economics Mathematics - Probability Social Sciences (miscellaneous) Finance Mathematics Valuation (finance) |
| Zdroj: | Mathematical Finance. 28:1107-1142 |
| ISSN: | 0960-1627 |
| DOI: | 10.1111/mafi.12163 |
| Popis: | We consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follow a multidimensional exponential Levy model. We carefully examine the relation between the option prices, related partial integro-differential variational inequalities, and reflected backward stochastic differential equations. In particular, we prove regularity results for the value function and obtain the early exercise premium formula for a broad class of payoff functions. |
| Databáze: | OpenAIRE |
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