On the theory of option pricing

zbMath0554.90019MaRDI QIDQ760330

Alain Bensoussan

Publication date: 1984

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

zbMATH Keywords

perturbation techniquesBrownian motionportfolio theoryfinancial economicsdrift transformationKunita-Watanabe representations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimal stopping in statistics (62L15) Portfolio theory (91G10)

Related Items (76)

Optimal stopping problems with restricted stopping times ⋮ Optimal risk management problem of natural resources: application to oil drilling ⋮ A generalized complementarity approach to solving real option problems ⋮ Exercise boundary of American-style Asian option ⋮ THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS ⋮ American put options with a finite set of exercisable time epochs ⋮ Supermartingale decomposition theorem under \(G\)-expectation ⋮ Bermudan options pricing formulas in uncertain financial markets ⋮ An option pricing problem with the underlying stock paying dividends ⋮ Valuation of the prepayment option of a perpetual corporate loan ⋮ The application of backward stochastic differential equation with stopping time in hedging American contingent claims ⋮ Dividends in the theory of derivative securities pricing ⋮ Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets ⋮ Numerical pricing of financial derivatives using Jain's high-order compact scheme ⋮ An analytic formula for the price of an American-style Asian option of floating strike type ⋮ A penalty method for American multi-asset option problems ⋮ The American put with finite‐time maturity and stochastic interest rate ⋮ Convex duality for partial hedging of American options: continuous price processes ⋮ The stochastic balance equation for the American option value function and its gradient ⋮ Pricing Options Under Time-Fractional Model Using Adomian Decomposition ⋮ Stability analysis for pricing European options regarding the interest rate generated by the time fractional Cox-Ingersoll-Ross processes ⋮ An efficient finite element method for pricing American multi-asset put options ⋮ American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach ⋮ A network of options: evaluating complex interdependent decisions under uncertainty ⋮ An integer programming model for pricing American contingent claims under transaction costs ⋮ An efficient numerical method for the valuation of American multi-asset options ⋮ An integration by parts type formula for stopping times and its application ⋮ American lookback option with fixed strike price-2-D parabolic variational inequality ⋮ On the pricing of American options ⋮ A new form of the early exercise premium for American type derivatives ⋮ Perpetual American Put Option: an Error Estimator for Non-Standard Finite Difference Scheme ⋮ Free boundary and optimal stopping problems for American Asian options ⋮ American options with stochastic dividends and volatility: a nonparametric investigation ⋮ An extension of a theorem of K. Yamada to equations ``with memory ⋮ On the behaviour near expiry for multi-dimensional American options ⋮ Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty ⋮ Variational inequalities in Hilbert spaces with measures and optimal stopping problems ⋮ NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET ⋮ Optimal oil production and the world supply of oil ⋮ Hedging using simulation: a least squares approach ⋮ ON THE LOWER ARBITRAGE BOUND OF AMERICAN CONTINGENT CLAIMS ⋮ American option prices in a Markov chain market model ⋮ Semi-parametric estimation of American option prices ⋮ An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options ⋮ Hedging American contingent claims with arbitrage costs ⋮ An optimal stopping problem with a reward constraint ⋮ Properties of American option prices ⋮ On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options ⋮ Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options ⋮ Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing ⋮ On the convergence from discrete to continuous time in an optimal stopping problem. ⋮ Monte Carlo algorithms for optimal stopping and statistical learning ⋮ Probabilistic approach to free boundary problems and pricing of American options ⋮ Unnamed Item ⋮ On the regularity of the free boundary in the parabolic obstacle problem. Application to American options ⋮ Unnamed Item ⋮ A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes ⋮ Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model ⋮ On the American option-pricing model with an uncertain volatility ⋮ On perpetual American put valuation and first-passage in a regime-switching model with jumps ⋮ American options in nonlinear markets ⋮ Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options ⋮ Residual risks and hedging strategies in Markovian markets ⋮ Variational inequalities and the pricing of American options ⋮ Pricing the American put option: A detailed convergence analysis for binomial models ⋮ An Italian perspective on the development of financial mathematics from 1992 to 2008 ⋮ Optimal Hedging in Incomplete Markets ⋮ The early exercise boundary under the jump to default extended CEV model ⋮ Volatility misspecification, option pricing and superreplication via coupling ⋮ Nonparametric estimation of American options' exercise boundaries and call prices ⋮ G-Doob-Meyer decomposition and its applications in bid-ask pricing for derivatives under Knightian uncertainty ⋮ Futures market equilibrium with heterogeneity and a spot market at harvest ⋮ On the use of boundary conditions for variational formulations arising in financial mathematics. ⋮ A sufficient condition for near-optimal stochastic controls and its application to manufacturing systems ⋮ The early exercise premium representation for American options on multiply assets ⋮ PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES

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