The valuation of American call options on the minimum of two dividend-paying assets
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Publication:1425482
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
numerical computationlocal timelower and upper boundsdividendsAmerican-stylecallsexercise premiumminimum of two assetsOption valuation
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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
Cites Work
- Calcul stochastique et problèmes de martingales
- Variational inequalities and the pricing of American options
- On the pricing of American options
- Martingales and stochastic integrals in the theory of continuous trading
- On optimal stopping and free boundary problems
- Exercise regions of American options on several assets
- Insights on the Effect of Land Use Choice: The Perpetual Option on the Best of Two Underlying Assets
- Optimal Stopping and the American Put
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- The Valuation of American Options on Multiple Assets
- THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS1
- Optimal Stopping of a Markov Process
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