On Backward Stochastic Differential Equations Approach to Valuation of American Options

• Autorzy: Tomasz Klimsiak , Andrzej Rozkosz
• 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.

Kategorie tematyczne

• 91G20: Derivative securities
• 60H99: None of the above, but in this section
• 60H30: Applications of stochastic analysis (to PDE, etc.)

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Bulletin of the Polish Academy of Sciences. Mathematics
• Rocznik: 2011
• Tom: 59
• Numer: 3
• Strony: 275-288

Daty

wydano

2011

Twórcy

autor

Tomasz Klimsiak

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

autor

Andrzej Rozkosz

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

Identyfikatory

DOI

10.4064/ba59-3-8