A semigroup approach to American options

被引：3

作者：

Cruz-Báez, DI ^{[1
]}

González-Rodríguez, JM ^{[1
]}

机构：

[1] Univ La Laguna, Dept Appl Econ, San Cristobal la Laguna 38071, Tenerife, Spain

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2005年 / 302卷 / 01期

关键词：

semilinear parabolic problems; American options; semigroups;

D O I：

10.1016/j.jmaa.2004.07.047

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper we give new conditions for the existence and uniqueness of the value of an American option by using semigroup theory. Some open questions given by Gozzi et al. and Kholodnyi are solved and improved, specifically, that the Black-Scholes operator is degenerate and that it is sectorial. Moreover, our results are extended to the original American problem. Finally, we obtain an integral equation which gives the value of an American option, providing an alternative method to calculate the value of American options. (C) 2004 Elsevier Inc. All rights reserved.

引用

页码：157 / 165

页数：9

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