• Title of article

    Properties of American option prices

  • Author/Authors

    Tiina and Ekstrِm، نويسنده , , Erik، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2004
  • Pages
    14
  • From page
    265
  • To page
    278
  • Abstract
    We investigate some properties of American option prices in the setting of time- and level-dependent volatility. The properties under consideration are convexity in the underlying stock price, monotonicity and continuity in the volatility and time decay. Some properties are direct consequences of the corresponding properties of European option prices that are already known, and some follow by writing solutions of different stochastic differential equations as time changes of the same Brownian motion.
  • Keywords
    Volatility , Stochastic time change , Optimal stopping , OPTIONS
  • Journal title
    Stochastic Processes and their Applications
  • Serial Year
    2004
  • Journal title
    Stochastic Processes and their Applications
  • Record number

    1577517