ARE AMERICAN OPTIONS EUROPEAN AFTER ALL?

• 成果类型: Article
• 署名作者: Christensen, Soeren; Kallsen, Jan; Lenga, Matthias
• 署名单位: University of Kiel; Bayer AG
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/21-AAP1698
• 发表日期: 2022
• 页码: 853-892
• 关键词: prices

摘要

We call a given American option representable if there exists a European claim which dominates the American payoff at any time and such that the values of the two options coincide in the continuation region of the American option. This concept has interesting implications from a probabilistic, analytic, financial, and numeric point of view. Relying on methods from (Math. Finance 24 (2014) 156-172; Ann. Inst. H. Poincare Anal. Non Lineaire 18 (2001) 1-17; Ann. Appl. Probab. 12 (2002) 196-223) and convex duality, we make a first step towards verifying representability of American options.