ON THE AMERICAN OPTION PROBLEM

DOI10.1111/J.0960-1627.2005.00214.XzbMATH Open1109.91028OpenAlexW3124827703MaRDI QIDQ5464339FDOQ5464339

Authors: Goran Peskir 

Publication date: 17 August 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2005.00214.x

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zbMATH Keywords

free-boundary problemgeometric Brownian motionoptimal stoppingsmooth fitnonlinear integral equationcurved boundarylocal time-space calculusarbitrage-free price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

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• Title not available (Why is that?)
• On integral equations arising in the first-passage problem for Brownian motion
• On optimal stopping and free boundary problems

Cited In (88)

• Optimal liquidation of an asset under drift uncertainty
• The inverse volatility problem for American options
• Finite expiry Russian options
• Two-sided disorder problem for a Brownian motion in a Bayesian setting
• An iterative procedure for solving integral equations related to optimal stopping problems
• American strangle options
• American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
• Corrected random walk approximations to free boundary problems in optimal stopping
• The efficient hedging problem for American options
• Multidimensional investment problem
• The Wiener disorder problem with finite horizon
• The trap of complacency in predicting the maximum
• On Chernoff's test for a fractional Brownian motion
• Optimal surrender strategies for equity-indexed annuity investors with partial information
• Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
• Diffusion transformations, Black-Scholes equation and optimal stopping
• Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result
• Valuing American-style options under the CEV model: an integral representation based method
• Optimal execution with multiplicative price impact and incomplete information on the return
• The representation of American options prices under stochastic volatility and jump-diffusion dynamics
• A remark on the heat equation with a point perturbation, the Feynman-Kac formula with local time and derivative pricing
• On the solution of complementarity problems arising in American options pricing
• A note on the nonlinear Volterra integral equation for the early exercise boundary
• Optimal selling of an asset under incomplete information
• Bayesian sequential testing of the drift of a Brownian motion
• Regularity of the American put option in the Black-Scholes model with general discrete dividends
• Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters
• Finite horizon portfolio selection problems with stochastic borrowing constraints
• An integral representation and computation for the solution of American options
• Exercisability Randomization of the American Option
• Detecting the presence of a random drift in Brownian motion
• Nash equilibria in a class of Markov stopping games with total reward criterion
• On the lookback option with fixed strike
• Smooth pasting as rate of return equalization
• An analytic formula for the price of an American-style Asian option of floating strike type
• American options with guarantee -- a class of two-sided stopping problems
• Portfolio selection with consumption ratcheting
• A change-of-variable formula with local time on curves
• The British call option
• Optimal real-time detection of a drifting Brownian coordinate
• A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
• Integral equations for Rost's reversed barriers: existence and uniqueness results
• The American put option in a one-dimensional diffusion model with level-dependent volatility
• Sequential testing problems for Bessel processes
• Optimal mean-reverting spread trading: nonlinear integral equation approach
• Optimal entry to an irreversible investment plan with non convex costs
• On an irreversible investment problem with two-factor uncertainty
• Exact and approximate Nash equilibria in discounted Markov stopping games with terminal redemption
• Optimal stopping problem in a model with compensated refusal of reward
• The British put option
• Convexity of the optimal stopping boundary for the American put option
• Characterization of the American put option using convexity
• On the optimal exercise boundaries of swing put options
• Quickest real-time detection of a Brownian coordinate drift
• An integral equation for Root's barrier and the generation of Brownian increments
• Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions
• Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
• Calculating the American options in the default model
• The American put with finite‐time maturity and stochastic interest rate
• Degeneracy results for fully nonlinear integral operators
• Local time-space stochastic calculus for Lévy processes
• Continuity of the optimal stopping boundary for two-dimensional diffusions
• The early exercise premium in American options by using nonparametric regressions
• On the free boundary of an annuity purchase
• American Option Valuation under Continuous-Time Markov Chains
• On optimal stopping of multidimensional diffusions
• THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS
• An integral equation for American put options on assets with general dividend processes
• Discounted optimal stopping problems in continuous hidden Markov models
• A Bayesian sequential test for the drift of a fractional Brownian motion
• Finite horizon sequential detection with exponential penalty for the delay
• On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions
• Uncertainty over uncertainty in environmental policy adoption: Bayesian learning of unpredictable socioeconomic costs
• Quickest real-time detection of multiple Brownian drifts
• The stochastic balance equation for the American option value function and its gradient
• On the American swaption in the linear-rational framework
• Closed form optimal exercise boundary of the American put option
• Optimal stopping for the exponential of a Brownian bridge
• The generalized Cauchy problem for the price of an American put option.
• On a constant related to American type options
• Diffusion spiders: Green kernel, excessive functions and optimal stopping
• Title not available (Why is that?)
• A new integral equation for Brownian stopping problems with finite time horizon
• Time-randomized stopping problems for a family of utility functions
• Semimartingale local time and the American put option
• Mathematical properties of American chooser options
• An optimal sequential procedure for determining the drift of a Brownian motion among three values
• On American Derivatives and Related Obstacle Problems

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