The valuation of American options in a multidimensional exponential Levy model

Tomasz Klimsiak; Andrzej Rozkosz

doi:10.1111/mafi.12163

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arXiv · 1602.08887

The valuation of American options in a multidimensional exponential Levy model

Tomasz Klimsiak·Andrzej Rozkosz

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Abstract

We consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follows a multidimensional exponential Levy model. We carefully examine the relation between the option prices, related partial integro-differential variational inequalities and reflected backward stochastic differential equations. In particular, we prove regularity results for the value function and obtain the early exercise premium formula for broad class of payoff functions.

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Tomasz Klimsiak, Andrzej Rozkosz. 2016-02-29. The valuation of American options in a multidimensional exponential Levy model. https://doi.org/10.1111/mafi.12163

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