The early exercise premium representation for American options on multiply assets

DOI10.1007/s00245-015-9293-5zbMath1335.91081arXiv1306.2014OpenAlexW3104344821WikidataQ59473196 ScholiaQ59473196MaRDI QIDQ253081

Andrzej Rozkosz, Tomasz Klimsiak

Publication date: 8 March 2016

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.2014

zbMATH Keywords

optimal stoppingbackward stochastic differential equationobstacle problemAmerican optionearly exercise premiummultiply assets

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

On perpetual American options in a multidimensional Black–Scholes model ⋮ Valuing American options by simulation: a BSDEs approach ⋮ Unnamed Item

Cites Work

• Strong solutions of semilinear parabolic equations with measure data and generalized backward stochastic differential equations
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• The valuation of American call options on the minimum of two dividend-paying assets
• On Backward Stochastic Differential Equations Approach to Valuation of American Options
• Regularity of the free boundary of an American option on several assets
• Optimal Stopping and the American Put
• The Valuation of American Options on Multiple Assets
• Convex Analysis
• Mesures Associees Aux Fonctionnelles Additives de Markov. I
• Weak solutions for SPDE's and backward doubly stochastic differential equations
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