Results 241 to 250 of about 7,186,614 (320)

ON THE AMERICAN OPTION PROBLEM

Mathematical Finance, 2005
Summary: We show how the change-of-variable formula with local time on curves derived recently in \textit{G. Peskir} [J. Theor. Probab. 18, No. 3, 499-535 (2005; Zbl 1085.60033)] can be used to prove that the optimal stopping boundary for the American put option can be characterized as the unique solution of a nonlinear integral equation arising from ...
Goran Peskir
exaly   +3 more sources

American Option Pricing and Filtering with a Hidden Regime-Switching Jump Diffusion

Jurnal derivate, 2022
The valuation of an American-style contingent claim is discussed in a hidden Markov regime-switching jump-diffusion market, where the evolution of a hidden economic state process over time is described by a continuous-time, finite-state, hidden Markov ...
T. Siu, R. Elliott
semanticscholar   +1 more source

American Options

2012
The American options generalize the European options in the sense that they can be exercised at any moment prior to maturity. They are part of the more general category of American-type derivatives that we shall define in Subsection 3.1 as a sequence X = (Xn) of random variables that are adapted to a given filtration (Fn), typically generated by the ...
Nigel J. Cutland, Alet Roux
  +6 more sources

Extreme values for solution to uncertain fractional differential equation and application to American option pricing model

Physica A: Statistical Mechanics and its Applications, 2019
Uncertain fractional differential equation plays an important role of describing uncertain dynamic process. This paper focuses on extreme values (including supremum and infimum) for solution to an uncertain fractional differential equation for the Caputo
Ting Jin, Yun Sun, Yuanguo Zhu
semanticscholar   +1 more source

American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach

Operations Research, 2014
Yanchu Liu
exaly   +2 more sources