On the pricing of American options |
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| Authors: | Ioannis Karatzas |
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| Institution: | (1) Department of Statistics, Columbia University, 10027 New York, NY, USA;(2) Center for Stochastic Processes, University of North Carolina, Chapel Hill, 27514, NC, USA |
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| Abstract: | The problem of valuation for contingent claims that can be exercised at any time before or at maturity, such as American options, is discussed in the manner of Bensoussan 1]. We offer an approach which both simplifies and extends the results of existing theory on this topic.Research supported in part by the National Science Foundation under Grant No. NSF-DMS-84-16736 and by the Air Force Office of Scientific Research under Grant No. F49620-85-C-0144. |
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