Are American options European after all?

DOI10.1214/21-AAP1698zbMath1492.91369arXiv2002.05571OpenAlexW3121680915MaRDI QIDQ2134285

Yanyan Li

Publication date: 6 May 2022

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

Full work available at URL: https://arxiv.org/abs/2002.05571

zbMATH Keywords

free boundary problemoptimal stoppingdualitycheapest dominating European optionembedded American optionrepresentable American option

Mathematics Subject Classification ID

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

Related Items (1)

A new integral equation for Brownian stopping problems with finite time horizon

Cites Work

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• A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING
• Probability theory. A comprehensive course
• American prices embedded in European prices

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