An integral equation for American put options on assets with general dividend processes

DOI10.1080/17442508.2010.533179zbMath1229.91378OpenAlexW2055220199MaRDI QIDQ3108380

Johannes W. Nieuwenhuis, Michel H. Vellekoop

Publication date: 3 January 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2010.533179

zbMATH Keywords

American optionearly exercise premiumdividends

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders ⋮ Regularity of the American put option in the Black-Scholes model with general discrete dividends ⋮ PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES

Cites Work

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• Reflected BSDEs and mixed game problem
• Local times, optimal stopping and semimartingales
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends
• ON THE AMERICAN OPTION PROBLEM

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