GENERAL DUALITY FOR PERPETUAL AMERICAN OPTIONS

被引：5
|
作者：
Alfonsi, Aurelien [1 ,2 ]
Jourdain, Benjamin [1 ]
机构：
[1] Ecole Ponts, CERMICS, Project Team Mathfi, ParisTech, 6-8 Ave Blaise Pascal, F-77455 Marne La Vallee, France
[2] TU Berlin, Inst Math, D-10623 Berlin, Germany
来源：
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2008年 / 11卷 / 06期
关键词：
Perpetual American options; Dupire's formula; Call-Put duality; calibration of volatility; optimal stopping;
D O I：
10.1142/S0219024908004920
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper, we investigate the generalization of the Call-Put duality equality obtained in Alfonsi and Jourdain (preprint, 2006, available at http://cermics.enpc.fr/reports/CERMICS-2006/CERMICS-2006-307.pdf) for perpetual American options when the Call-Put payoff (y - x)(+) is replaced by phi(x, y). It turns out that the duality still holds under monotonicity and concavity assumptions on phi. The specific analytical form of the Call-Put payoff only makes calculations easier but is not crucial unlike in the derivation of the Call-Put duality equality for European options. Last, we give some examples for which the optimal strategy is known explicitly.
引用
收藏
页码：545 / 566
页数：22
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