On Backward Stochastic Differential Equations Approach to Valuation of American Options

Tomasz Klimsiak, and Andrzej Rozkosz. "On Backward Stochastic Differential Equations Approach to Valuation of American Options." Bulletin of the Polish Academy of Sciences. Mathematics 59.3 (2011): 275-288. <http://eudml.org/doc/281155>.

@article{TomaszKlimsiak2011,
abstract = {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.},
author = {Tomasz Klimsiak, Andrzej Rozkosz},
journal = {Bulletin of the Polish Academy of Sciences. Mathematics},
keywords = {backward stochastic differential equation; obstacle problem; American option},
language = {eng},
number = {3},
pages = {275-288},
title = {On Backward Stochastic Differential Equations Approach to Valuation of American Options},
url = {http://eudml.org/doc/281155},
volume = {59},
year = {2011},
}

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
VL - 59
IS - 3
SP - 275
EP - 288
AB - 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.
LA - eng
KW - backward stochastic differential equation; obstacle problem; American option
UR - http://eudml.org/doc/281155
ER -