Bounds for the American perpetual put on a stock index
V. Paulsen
Source: J. Appl. Probab. Volume 38, Number 1
(2001), 55-66.
Abstract
Let us consider n stocks with dependent price processes each following a geometric Brownian motion. We want to investigate the American perpetual put on an index of those stocks. We will provide inner and outer boundaries for its early exercise region by using a decomposition technique for optimal stopping.
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Keywords: mathematical finance; optimal stopping; American option; index option; early exercise region
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.jap/996986643
Digital Object Identifier: doi:10.1239/jap/996986643
Mathematical Reviews number (MathSciNet): MR1816113
Zentralblatt MATH identifier: 0979.91042
Journal of Applied Probability
