Title of article :
Properties of American option prices
Author/Authors :
Tiina and Ekstrِm، نويسنده , , Erik، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2004
Abstract :
We investigate some properties of American option prices in the setting of time- and level-dependent volatility. The properties under consideration are convexity in the underlying stock price, monotonicity and continuity in the volatility and time decay. Some properties are direct consequences of the corresponding properties of European option prices that are already known, and some follow by writing solutions of different stochastic differential equations as time changes of the same Brownian motion.
Keywords :
Volatility , Stochastic time change , Optimal stopping , OPTIONS
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications