Geodesic
On Backward Stochastic Differential Equations Approach to Valuation of American Options
Tomasz Klimsiak 1   ; Andrzej Rozkosz 1
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 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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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 
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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

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