ON THE AMERICAN OPTION PROBLEM

By Goran Peskir. 2005

222 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fc607e16528743ddfc77402cb26a8190005f1885

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Citations in the corpus

A Change-of-Variable Formula with Local Time on Curves (2005, background): “…Fx + ( 2=2)Fxx (s;Xs) I(Xs 6= b(s)) ds + Z t 0 ( Fx)(s;Xs) I(Xs 6= b(s)) dBs + 1 2 Z t 0 Fx(s;Xs+) Fx(s;Xs ) I(Xs= b(s)) d` b s(X) where `bs(X) is the local time of X at the curve b given by (1.6) above, and d` b s(X) refers to the integration with respect to the continuous increasing function s 7!”
The trap of complacency in predicting the maximum. (2007, background): “We will nonetheless succeed in proving (as in [16] and [17] with one boundary) that the coupled system of nonlinear equations derived for b1 and b2 cannot have other solutions.”
Local time–space stochastic calculus for Lévy processes (2006, methodology): “Indeed, to be able to prove some uniqueness result for the American option problem [15], he had to prove a new Itô formula for functions that are C2(R × R+) everywhere except on the set {x = b(t)} where b is a continuous curve (see [14]).”
The Wiener disorder problem with finite horizon (2006, methodology): “By means of the method of proof proposed in [14] and [16], and using the change-of-variable formula from [15], we show that the optimal stopping boundary can be uniquely determined from a nonlinear Volterra integral equation of the second kind.”
Convexity of the optimal stopping boundary for the American put option (2004, background): “In particular, many authors have dealt with certain non-linear integral equations for the optimal stopping boundary; see, for example, [2,8,9, 11,12,15] and references therein.”