On Backward Stochastic Differential Equations Approach to Valuation of American Options
Tomasz Klimsiak ; Andrzej Rozkosz
Bulletin of the Polish Academy of Sciences. Mathematics, Tome 59 (2011), p. 275-288 / Harvested from The Polish Digital Mathematics Library
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We consider the problem of valuation of American (call and put) options written on a dividend paying stock governed by the geometric Brownian motion. We show that the value function has two different but related representations: by means of a solution of some nonlinear backward stochastic differential equation, and by a weak solution to some semilinear partial differential equation.

Publié le : 2011-01-01
EUDML-ID : urn:eudml:doc:281155 
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Tomasz Klimsiak; Andrzej Rozkosz. On Backward Stochastic Differential Equations Approach to Valuation of American Options. Bulletin of the Polish Academy of Sciences. Mathematics, Tome 59 (2011) pp. 275-288. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-ba59-3-8/