The stochastic balance equation for the American option value function and its gradient

DOI10.1016/j.spa.2023.09.011arXiv2102.12800OpenAlexW3131317031MaRDI QIDQ6144442

Malkhaz Shashiashvili

Publication date: 29 January 2024

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

Full work available at URL: https://arxiv.org/abs/2102.12800

zbMATH Keywords

American optionSnell envelopeadapted future-supremumstochastic balance equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• On the theory of option pricing
• On the pricing of American options
• A survey of numerical methods for stochastic differential equations
• PDE and martingale methods in option pricing.
• Positive Densities of Transition Probabilities of Diffusion Processes
• Pricing American Options: A Duality Approach
• Stochastic variational inequalities and optimal stopping: applications to the robustness of the portfolio/consumption processes
• Monte Carlo valuation of American options
• Continuous parameter optimal stopping problems

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