On perpetual American options in a multidimensional Black-Scholes model
Probability
2022-07-05 v2
Abstract
We consider the problem of pricing perpetual American options written on dividend-paying assets whose price dynamics follow a multidimensional Black and Scholes model. For convex Lipschitz continuous reward functions, we give a probabilistic characterization of the fair price in terms of a reflected BSDE, and an analytical one in terms of an obstacle problem. We also provide the early exercise premium formula.
Keywords
Cite
@article{arxiv.1901.00308,
title = {On perpetual American options in a multidimensional Black-Scholes model},
author = {Andrzej Rozkosz},
journal= {arXiv preprint arXiv:1901.00308},
year = {2022}
}