On the Pricing of American Options in Exponential Lévy Markets
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In this paper, we discuss the problem of the pricing of American-style options in the exponential Lévy security market model. This model is typically incomplete, and we derive the explicit bounds of the interval of no arbitrage prices and the related optimal stopping moments for American put options and American call options in both finite and infinite horizon time. We consider a large class of Lévy processes.
2007 ◽
Vol 44
(2)
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pp. 409-419
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2019 ◽
Vol 22
(4)
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pp. 1145-1154
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2000 ◽
Vol 20
(2)
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pp. 167-188
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