相关论文: The Obstacle Problem Arising from the American Cho…

We study the valuation of an American put option with a random time horizon given by the last exit time of the underlying asset from a fixed level. Since this random time is not a stopping time, the problem falls outside the classical…

This paper is concerned with the solution of the optimal stopping problem associated to the valuation of Perpetual American options driven by continuous time Markov chains. We introduce a new dynamic approach for the numerical pricing of…

We consider an optimal control problem for the obstacle problem with an elliptic variational inequality. The obstacle function which is the control function is assumed in $H^{2}$. We use an approximate technique to introduce a family of…

We prove existence, regularity and a Feynman-Ka\v{c} representation formula of the strong solution to the free boundary problem arising in the financial problem of the pricing of the American Asian option with arithmetic average.

We introduce a simple stochastic volatility model, whose novelty consists in taking into account hitting times of the asset price, and study the optimal stopping problem corresponding to a put option whose time horizon (after the asset…

The virtue of an American option is that it can be exercised at any time. This right is particularly valuable when there is model uncertainty. Yet almost all the extensive literature on American options assumes away model uncertainty. This…

An American option grants the holder the right to select the time at which to exercise the option, so pricing an American option entails solving an optimal stopping problem. Difficulties in applying standard numerical methods to complex…

We consider an obstacle problem for elastic curves with fixed ends. We attempt to extend the graph approach provided in [8]. More precisely, we investigate nonexistence of graph solutions for special obstacles and extend the class of…

Given the marginal distribution information of the underlying asset price at two future times $T_1$ and $T_2$, we consider the problem of determining a model-free upper bound on the price of a class of American options that must be…

We give a definition for Obstacle Problems with measure data and general obstacles. For such problems we prove existence and uniqueness of solutions and consistency with the classical theory of Variational Inequalities. Continuous…

In this paper we study a parabolic version of the fractional obstacle problem, proving almost optimal regularity for the solution. This problem is motivated by an American option model proposed by Menton which introduces, into the theory of…

We give an analytical characterization of the price function of an American option in Heston-type models. Our approach is based on variational inequalities and extends recent results of Daskalopoulos and Feehan (2011). We study the…

Nowadays many financial derivatives, such as American or Bermudan options, are of early exercise type. Often the pricing of early exercise options gives rise to high-dimensional optimal stopping problems, since the dimension corresponds to…

This paper examines the valuation of American capped call options with two-level caps. The structure of the immediate exercise region is significantly more complex than in the classical case with constant cap. When the cap grows over time,…

American options are studied in a general discrete market in the presence of proportional transaction costs, modelled as bid-ask spreads. Pricing algorithms and constructions of hedging strategies, stopping times and martingale…

We develop a practical framework for identifying and quantifying the hidden layers of risks and optionality embedded in American options by introducing stochasticity into one or more of their underlying determinants. The heuristic approach…

We study the double obstacle problem for p-harmonic functions on arbitrary bounded nonopen sets E in quite general metric spaces. The Dirichlet and single obstacle problems are included as special cases. We obtain Adams' criterion for the…

In this work, we consider optimality conditions of an optimal control problem governed by an obstacle problem. Here, we focus on introducing a, matrix valued, control variable as the coefficients of the obstacle problem. As it is well…

The Supreme Court's federal preemption decisions are notoriously unpredictable. Traditional left-right voting alignments break down in the face of competing ideological pulls. The breakdown of predictable voting blocs leaves the business…

We call a given American option representable if there exists a European claim which dominates the American payoff at any time and such that the values of the two options coincide in the continuation region of the American option. This…