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

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

langue originale	Anglais
Pages (de - à)	1-17
Nombre de pages	17
journal	Annales de l'Institut Henri Poincare (C) Analyse Non Lineaire
Volume	18
Numéro de publication	1
Les DOIs	https://doi.org/10.1016/S0294-1449(00)00120-7
état	Publié - 1 janv. 2001

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10.1016/S0294-1449(00)00120-7

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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.",

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KW - Black-Scholes model

KW - European options

KW - Free boundary problems

KW - Martingales

KW - Optimal stopping

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American prices embedded in European prices

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