Geodesic
On Backward Stochastic Differential Equations Approach to Valuation of American Options
Tomasz Klimsiak1 ; Andrzej Rozkosz1
1 Faculty of Mathematics and Computer Science Nicolaus Copernicus University Chopina 12/18 87-100 Toruń, Poland
Bulletin of the Polish Academy of Sciences. Mathematics, Tome 59 (2011) no. 3, pp. 275-288.

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

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.
DOI : 10.4064/ba59-3-8
Keywords: consider problem valuation american call put options written dividend paying stock governed geometric brownian motion value function has different related representations means solution nonlinear backward stochastic differential equation weak solution semilinear partial differential equation

Tomasz Klimsiak 1 ; Andrzej Rozkosz 1

1 Faculty of Mathematics and Computer Science Nicolaus Copernicus University Chopina 12/18 87-100 Toruń, Poland 
@article{10_4064_ba59_3_8,
     author = {Tomasz Klimsiak and Andrzej Rozkosz},
     title = {On {Backward} {Stochastic} {Differential} {Equations} {Approach} to {Valuation} of {American} {Options}},
     journal = {Bulletin of the Polish Academy of Sciences. Mathematics},
     pages = {275--288},
     publisher = {mathdoc},
     volume = {59},
     number = {3},
     year = {2011},
     doi = {10.4064/ba59-3-8},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.4064/ba59-3-8/}
}
TY  - JOUR
AU  - Tomasz Klimsiak
AU  - Andrzej Rozkosz
TI  - On Backward Stochastic Differential Equations Approach to Valuation of American Options
JO  - Bulletin of the Polish Academy of Sciences. Mathematics
PY  - 2011
SP  - 275
EP  - 288
VL  - 59
IS  - 3
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.4064/ba59-3-8/
DO  - 10.4064/ba59-3-8
LA  - en
ID  - 10_4064_ba59_3_8
ER  - 
%0 Journal Article
%A Tomasz Klimsiak
%A Andrzej Rozkosz
%T On Backward Stochastic Differential Equations Approach to Valuation of American Options
%J Bulletin of the Polish Academy of Sciences. Mathematics
%D 2011
%P 275-288
%V 59
%N 3
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.4064/ba59-3-8/
%R 10.4064/ba59-3-8
%G en
%F 10_4064_ba59_3_8
Tomasz Klimsiak; Andrzej Rozkosz. On Backward Stochastic Differential Equations Approach to Valuation of American Options. Bulletin of the Polish Academy of Sciences. Mathematics, Tome 59 (2011) no. 3, pp. 275-288. doi : 10.4064/ba59-3-8. http://geodesic.mathdoc.fr/articles/10.4064/ba59-3-8/

Cité par Sources :