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On the pricing of American options

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Abstract

The problem of valuation for contingent claims that can be exercised at any time before or at maturity, such as American options, is discussed in the manner of Bensoussan [1]. We offer an approach which both simplifies and extends the results of existing theory on this topic.

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Authors and Affiliations

  1. Department of Statistics, Columbia University, 10027, New York, NY, USA

    Ioannis Karatzas

  2. Center for Stochastic Processes, University of North Carolina, Chapel Hill, 27514, NC, USA

    Ioannis Karatzas

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  1. Ioannis Karatzas
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Additional information

Research supported in part by the National Science Foundation under Grant No. NSF-DMS-84-16736 and by the Air Force Office of Scientific Research under Grant No. F49620-85-C-0144.

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Karatzas, I. On the pricing of American options. Appl Math Optim 17, 37–60 (1988). https://doi.org/10.1007/BF01448358

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  • DOI: https://doi.org/10.1007/BF01448358

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