scholarly journals On the Pricing of American Options in Exponential Lévy Markets

2007 ◽  
Vol 44 (2) ◽  
pp. 409-419 ◽  
Author(s):  
Roman V. Ivanov
Keyword(s):  
Large Class ◽  
Optimal Stopping ◽  
Infinite Horizon ◽  
Market Model ◽  
Security Market ◽  
Put Options ◽  
No Arbitrage ◽  
American Put Options ◽  
Explicit Bounds ◽  
American Put

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.

On the Pricing of American Options in Exponential Lévy Markets

2007 ◽  
Vol 44 (02) ◽  
pp. 409-419
Author(s):  
Roman V. Ivanov
Keyword(s):  
Large Class ◽  
Optimal Stopping ◽  
Infinite Horizon ◽  
Market Model ◽  
Security Market ◽  
Put Options ◽  
No Arbitrage ◽  
American Put Options ◽  
Explicit Bounds ◽  
American Put

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.

scholarly journals On the Pricing of American Options in Exponential Lévy Markets

2007 ◽  
Vol 44 (02) ◽  
pp. 409-419
Author(s):  
Roman V. Ivanov
Keyword(s):  
Large Class ◽  
Optimal Stopping ◽  
Infinite Horizon ◽  
Market Model ◽  
Security Market ◽  
Put Options ◽  
No Arbitrage ◽  
American Put Options ◽  
Explicit Bounds ◽  
American Put

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.

Pricing of perpetual American put option with sub-mixed fractional Brownian motion

2019 ◽  
Vol 22 (4) ◽  
pp. 1145-1154
Author(s):  
Feng Xu ◽  
Shengwu Zhou
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Asset Price ◽  
Put Options ◽  
No Arbitrage ◽  
American Put Option ◽  
Put Option ◽  
American Put Options ◽  
Mixed Fractional Brownian Motion ◽  
American Put

Abstract The pricing problem of perpetual American put options is investigated when the underlying asset price follows a sub-mixed fractional Brownian motion process. First of all, the sub-mixed fractional Black-Scholes partial differential equation is established by using the delta hedging method and the principle of no arbitrage. Then, by solving the free boundary problem, we get the pricing formula of the perpetual American put option.

scholarly journals MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS

2013 ◽  
Vol 26 (2) ◽  
pp. 431-458 ◽  
Author(s):  
Alexander M. G. Cox ◽  
Christoph Hoeggerl
Keyword(s):  
Put Options ◽  
No Arbitrage ◽  
American Put Options ◽  
Model Independent ◽  
American Put

scholarly journals Pricing Perpetual American Put Options with Asset-Dependent Discounting

2021 ◽  
Vol 14 (3) ◽  
pp. 130
Author(s):  
Jonas Al-Hadad ◽  
Zbigniew Palmowski
Keyword(s):  
Value Function ◽  
Asset Price ◽  
Stopping Times ◽  
Martingale Measure ◽  
Put Options ◽  
American Put Options ◽  
Exact Calculations ◽  
Negative Exponential ◽  
American Put ◽  
The Value Function

The main objective of this paper is to present an algorithm of pricing perpetual American put options with asset-dependent discounting. The value function of such an instrument can be described as VAPutω(s)=supτ∈TEs[e−∫0τω(Sw)dw(K−Sτ)+], where T is a family of stopping times, ω is a discount function and E is an expectation taken with respect to a martingale measure. Moreover, we assume that the asset price process St is a geometric Lévy process with negative exponential jumps, i.e., St=seζt+σBt−∑i=1NtYi. The asset-dependent discounting is reflected in the ω function, so this approach is a generalisation of the classic case when ω is constant. It turns out that under certain conditions on the ω function, the value function VAPutω(s) is convex and can be represented in a closed form. We provide an option pricing algorithm in this scenario and we present exact calculations for the particular choices of ω such that VAPutω(s) takes a simplified form.

An Early-Exercise-Probability Perspective of American Put Options in the Low-Interest-Rate Era

2014 ◽  
Vol 35 (12) ◽  
pp. 1154-1172 ◽  
Author(s):  
Daniel Wei-Chung Miao ◽  
Yung-Hsin Lee ◽  
Wan-Ling Chao
Keyword(s):  
Interest Rate ◽  
Put Options ◽  
Early Exercise ◽  
American Put Options ◽  
American Put
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