Showing 1 - 10 of 318
We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of the state space. We allow for various types of model...
Persistent link: https://www.econbiz.de/10011126562
We approximate the price of the American put for jump diffusions by a sequence of functions, which are computed iteratively. This sequence converges to the price function uniformly and exponentially fast. Each element of the approximating sequence solves an optimal stopping problem for geometric...
Persistent link: https://www.econbiz.de/10010950129
We solve the problem of pricing and optimal exercise of American call-type options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical...
Persistent link: https://www.econbiz.de/10005084336
Given that the terminal condition is of at most linear growth, it is well known that a Cauchy problem admits a unique classical solution when the coefficient multiplying the second derivative (i.e., the volatility) is also a function of at most linear growth. In this note, we give a condition on...
Persistent link: https://www.econbiz.de/10005026927
Persistent link: https://www.econbiz.de/10010539358
The value function of an optimal stopping problem for jump diffusions is known to be a generalized solution of a variational inequality. Assuming that the diffusion component of the process is nondegenerate and a mild assumption on the singularity of the L\'{e}vy measure, this paper shows that...
Persistent link: https://www.econbiz.de/10008611416
We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of the state space. We allow for various types of model...
Persistent link: https://www.econbiz.de/10008622231
Persistent link: https://www.econbiz.de/10008328433
Persistent link: https://www.econbiz.de/10009839742
Persistent link: https://www.econbiz.de/10008770325