The valuation of American call options on the minimum of two dividend-paying assets

DOI10.1214/AOAP/1060202832zbMath1091.91034OpenAlexW2041007466MaRDI QIDQ1425482

Weidong Tian, Jérôme B. Detemple, Shui Feng

Publication date: 21 March 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1060202832

zbMATH Keywords

numerical computationlocal timelower and upper boundsdividendsAmerican-stylecallsexercise premiumminimum of two assetsOption valuation

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Related Items (11)

The functional Meyer–Tanaka formula ⋮ An implicit scheme for American put options ⋮ Stock loan with automatic termination clause, cap and margin ⋮ CTMC integral equation method for American options under stochastic local volatility models ⋮ Exercise Boundary Near Maturity for an American Option on Several Assets ⋮ Optimal Regularity in Rooftop-Like Obstacle Problem ⋮ A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes ⋮ Making the best of best-of ⋮ OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY ⋮ The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope ⋮ The early exercise premium representation for American options on multiply assets

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• The Valuation of American Options on Multiple Assets
• THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS¹
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