Geodesic
A comparison principle for an American option on several assets: index and spread options
Electronic Journal of Differential Equations, Tome 2003 (2003).

Voir la notice de l'article provenant de la source Electronic Library of Mathematics

Summary: Using the method of symmetrization, we compare the price of the American option on an index or spread to that of the solution of a parabolic variational inequality in one spatial variable. This comparison principle is established for a broad class of diffusion operators with time and state dependent coefficients. The purpose is to take a first step towards deriving symmmetrized problems whose solutions bound solutions of multidimensional American option problems with variable coefficients when the computation of the latter lies beyond the scope of the most powerful numerical methods.
Classification : 35K85, 35Q99
Keywords: american options, variational inequalities, free boundary, parabolic equations, finance, symmetrization, optimal stopping 
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     author = {Laurence, Peter and Stredulinsky, Edward},
     title = {A comparison principle for an {American} option on several assets: index and spread options},
     journal = {Electronic Journal of Differential Equations},
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     volume = {2003},
     year = {2003},
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Laurence, Peter; Stredulinsky, Edward. A comparison principle for an American option on several assets: index and spread options. Electronic Journal of Differential Equations, Tome 2003 (2003). http://geodesic.mathdoc.fr/item/EJDE_2003__2003__a21/