Properties of American option prices
2004 (English)In: Stochastic Processes and their Applications, ISSN 0304-4149, Vol. 114, no 2, 265-278 p.Article in journal (Refereed) Published
We investigate some properties of American option prices in the setting of time- and level-dependent volatility. The properties under consideration are convexity in the underlying stock price, monotonicity and continuity in the volatility and time decay. Some properties are direct consequences of the corresponding properties of European option prices that are already known, and some follow by writing solutions of different stochastic differential equations as time changes of the same Brownian motion.
Place, publisher, year, edition, pages
2004. Vol. 114, no 2, 265-278 p.
IdentifiersURN: urn:nbn:se:uu:diva-92190DOI: 10.1016/j.spa.2004.05.002OAI: oai:DiVA.org:uu-92190DiVA: diva2:165175