On Backward Stochastic Differential Equations Approach to Valuation of American Options

• Autorzy: Klimsiak T. , Rozkosz A.

Identyfikatory

DOI

10.4064/ba59-3-8

• Języki publikacji: EN

Abstrakty

EN

We consider the problem of valuation of American (call and put) options written on a dividend paying stock governed by the geometric Brownian motion. We show that the value function has two different but related representations: by means of a solution of some nonlinear backward stochastic differential equation, and by a weak solution to some semilinear partial differential equation.

Słowa kluczowe

EN

backward stochastic differential equation; obstacle problem; American option

• Wydawca: Instytut Matematyczny PAN
• Czasopismo: Bulletin of the Polish Academy of Sciences. Mathematics
• Rocznik: 2011
• Tom: Vol. 59, no 3
• Strony: 275--288
• Opis fizyczny: Bibliogr. 12 poz.

Twórcy

autor

Klimsiak T.

• Faculty of Mathematics and Computer Science Nicolaus Copernicus University Chopina 12/18 87-100 Toruń, Poland

autor

Rozkosz A.

• Faculty of Mathematics and Computer Science Nicolaus Copernicus University Chopina 12/18 87-100 Toruń, Poland

Bibliografia

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