GENERAL DUALITY FOR PERPETUAL AMERICAN OPTIONS

DOI10.1142/S0219024908004920zbMath1232.91640arXivmath/0612649OpenAlexW2051375734MaRDI QIDQ3168856

Benjamin Jourdain, Aurélien Alfonsi

Publication date: 27 April 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0612649

zbMATH Keywords

optimal stoppingperpetual American optionscall-put dualityDupire's formulacalibration of volatility

Mathematics Subject Classification ID

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

Related Items (3)

Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options ⋮ Parameter Dependent Optimal Thresholds, Indifference Levels and Inverse Optimal Stopping Problems ⋮ Constructing time-homogeneous generalized diffusions consistent with optimal stopping values

Cites Work

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