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
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