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On the Pricing of American Options in Exponential Lévy Markets
Published online by Cambridge University Press: 14 July 2016
Abstract
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.
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- Research Article
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- Copyright © Applied Probability Trust 2007
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