A semilinear equation for the American option in a general jump market
type: Item
instance of: scholarly article
title: A semilinear equation for the American option in a general jump market
zbMATH Open document ID: 1182.91218
DOI: 10.4171/IFB/219
author: Olli Wallin
author: Kenneth H. Karlsen
published in: Interfaces and Free Boundaries
publication date: 2010-02-02T00:00:00Z
full work available at URL: www.ems-ph.org
review text: The authors study the pricing of American put and call options in a market with jumps. They characterize the price as a solution of an integro-differential equation set on the whole domain which involves an additional reaction term that depends on the American option value in a nonlinear, nonlocal and discontinuous manner. To do this they give a proper definition of a viscosity solution of the equation and show that the characterization is well posed. Their main goal is to design and analyze ``easy to implement'' numerical algorithms for computing the value of an American option.
reviewed by: Nikolaos Halidias
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 5665698
zbMATH Keywords: American options
zbMATH Keywords: integro-differential equation
zbMATH Keywords: viscosity solutions
zbMATH Keywords: strong comparison principle
MaRDI profile type: Publication
OpenAlex ID: W2021305985
description: scientific article; zbMATH DE number 5665698