Properties of American option prices

DOI10.1016/J.SPA.2004.05.002zbMath1114.91050OpenAlexW2026920583MaRDI QIDQ2485809

Erik Ekström

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2004.05.002

zbMATH Keywords

Optimal stoppingVolatilityOptionsStochastic time change

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (27)

Bubbles, convexity and the Black-Scholes equation ⋮ The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate ⋮ Sensitivity analysis of the optimal exercise boundary of the American put option ⋮ Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives ⋮ How to escape a declining market: capacity investment or exit? ⋮ SHORT SELLING WITH MARGIN RISK AND RECALL RISK ⋮ Superreplication of Options on Several Underlying Assets ⋮ Perpetual American options with asset-dependent discounting ⋮ Optimal selling of an asset under incomplete information ⋮ Convexity theory for the term structure equation ⋮ Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point ⋮ The shape of the value function under Poisson optimal stopping ⋮ Corrected random walk approximations to free boundary problems in optimal stopping ⋮ Bounds for perpetual American option prices in a jump diffusion model ⋮ Bayesian sequential testing of the drift of a Brownian motion ⋮ On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems ⋮ An Approximate Dynamic Programming Algorithm for Monotone Value Functions ⋮ Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result ⋮ Monotonicity of the value function for a two-dimensional optimal stopping problem ⋮ On the American option-pricing model with an uncertain volatility ⋮ A unique solution to a semilinear Black-Scholes partial differential equation for valuing multi-assets of American options ⋮ OPTIMAL EXERCISE OF AN EXECUTIVE STOCK OPTION BY AN INSIDER ⋮ Perpetual American put options in a level-dependent volatility model ⋮ MONOTONICITY IN THE VOLATILITY OF SINGLE-BARRIER OPTION PRICES ⋮ The American put option in a one-dimensional diffusion model with level-dependent volatility ⋮ The American put is log-concave in the log-price ⋮ PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES

Cites Work

• On the theory of option pricing
• On the pricing of American options
• Sur l'approximation des réduites. (On the approximation of residues)
• Volatility misspecification, option pricing and superreplication via coupling
• Functional convergence of Snell envelopes: Applications to American options approximations
• Volatility time and properties of option prices
• On the properties of \(r\)-excessive mappings for a class of diffusions
• Robustness of the Black and Scholes Formula
• Optimal Stopping of a Markov Process
• Optimal Stopping Rules for Stochastic Processes with Continuous Parameter
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