VARIATIONAL-INEQUALITIES AND THE PRICING OF AMERICAN OPTIONS

被引：260

作者：

JAILLET, P

LAMBERTON, D

LAPEYRE, B

机构：

[1] LAMM. CERMA-ENPC La Courtine, Noisy le Grand

来源：

ACTA APPLICANDAE MATHEMATICAE | 1990年 / 21卷 / 03期

关键词：

OPTION PRICING; VARIATIONAL INEQUALITIES; OPTIMAL STOPPING PROBLEM;

D O I：

10.1007/BF00047211

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper is devoted to the derivation of some regularity properties of pricing functions for American options and to the discussion of numerical methods, based on the Bensoussan-Lions methods of variational inequalities. In particular, we provide a complete justification of the so-called Brennan-Schwartz algorithm for the valuation of American put options.

引用

页码：263 / 289

页数：27

共 32 条

[1]

Adams RA., 2003, PURE APPL MATH SOB O, V2

[2]

BENSOUSSAN A, 1984, ACTA APPL MATH, V2, P139

[3]

BENSOUSSAN A, 1978, APPLICATIONS INEQUAT

[4] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654

[5] VALUATION OF AMERICAN PUT OPTIONS [J].

BRENNAN, MJ ;

SCHWARTZ, ES .

JOURNAL OF FINANCE, 1977, 32 (02) :449-462

[6]

CHANDRASEKARAN R, 1970, OPSEARCH, V7, P263

[7]

Chung S.J., 1979, 792 U MICH DEP IND O

[8]

Cottle R. W., 1968, LINEAR ALGEBRA APPL, V1, P103, DOI DOI 10.1016/0024-3795(68)90052-9

[9]

COTTLE RW, 1977, APPL MATH OPT, V3, P321, DOI 10.1007/BF01448184

[10]

Cottle RW, 1972, MATH PROGRAM, V3, P238

← 1 2 3 4 →