American prices embedded in European prices

Benjamin Jourdain; Claude Martini

doi:10.1016/S0294-1449(00)00120-7

American prices embedded in European prices

Benjamin Jourdain
, Claude Martini

INRIA Institut National de Recherche en Informatique et en Automatique

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper, we are interested in American option prices in the Black-Scholes model. For a large class of payoffs, we show that in the region where the European price increases with the time to maturity, this price is equal to the American price of another claim. We give examples in which we explicit the corresponding claims. The characterization of the American claims obtained in this way remains an open question.

Original language	English
Pages (from-to)	1-17
Number of pages	17
Journal	Annales de l'Institut Henri Poincare (C) Analyse Non Lineaire
Volume	18
Issue number	1
DOIs	https://doi.org/10.1016/S0294-1449(00)00120-7
Publication status	Published - 1 Jan 2001

Keywords

American options
Black-Scholes model
European options
Free boundary problems
Martingales
Optimal stopping

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10.1016/S0294-1449(00)00120-7

Cite this

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KW - American options

KW - Black-Scholes model

KW - European options

KW - Free boundary problems

KW - Martingales

KW - Optimal stopping

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JF - Annales de l'Institut Henri Poincare (C) Analyse Non Lineaire

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ER -

American prices embedded in European prices

Abstract

Keywords

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