Regularity of the free boundary of an American option on several assets

Regularity of the free boundary of an American option on several assets
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多种资产美式期权自由边界的规律性

DOI：
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发表时间：
2009
期刊：
影响因子：
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通讯作者：
S. Salsa
S. Salsa
中科院分区：
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文献类型：
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作者：
P. Laurence;S. Salsa

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在收益为凸且资产服从相关几何布朗运动的情况下，建立了美式期权在多个资产上自由边界的C-∞正则性。我们的工作建立在Broadie和Detemple、Jaillet、Lamberton和Lapeyre以及Villeneuve关于自由边界的定性性质和初始正则性的结果的基础上。©2008威利期刊公司。
We establish the C∞ regularity of the free boundary for an American option on several assets in the case where the payoff is convex and the assets follow correlated geometric Brownian motions. Our work builds on results concerning the qualitative properties and initial regularity of the free boundary by Broadie and Detemple; Jaillet, Lamberton, and Lapeyre; and Villeneuve. © 2008 Wiley Periodicals, Inc.