CHANGE OF NUMÉRAIRE AND AMERICAN OPTIONS

DOI10.1081/SAP-120006104zbMath1010.60063OpenAlexW2048967048MaRDI QIDQ4796575

Anna Battauz

Publication date: 5 May 2003

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-120006104

zbMATH Keywords

variational inequalitieschange of numeraireAmerican option

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

American options and stochastic interest rates ⋮ Real options with a double continuation region

Cites Work

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• Variational inequalities and the pricing of American options
• On the pricing of American options
• The pricing of the American option
• On optimal stopping and free boundary problems
• On the Approximation of Optimal Stopping Problems with Application to Financial Mathematics
• Pricing American Stock Options by Linear Programming
• MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
• Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
• Changes of numéraire, changes of probability measure and option pricing
• Finite dimensional filters for a discrete-time nonlinear system with generalized gaussian white noise

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