A comparison principle for an American option on several assets: Index and spread options

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dc.contributor.authorLaurence, Peter
dc.contributor.authorStredulinsky, Edward
dc.date.accessioned2020-11-25T20:15:11Z
dc.date.available2020-11-25T20:15:11Z
dc.date.issued2003-07-07
dc.description.abstractUsing the method of symmetrization, we compare the price of the American option on an index or spread to that of the solution of a parabolic variational inequality in one spatial variable. This comparison principle is established for a broad class of diffusion operators with time and state dependent coefficients. The purpose is to take a first step towards deriving symmmetrized problems whose solutions bound solutions of multidimensional American option problems with variable coefficients when the computation of the latter lies beyond the scope of the most powerful numerical methods.
dc.description.departmentMathematics
dc.formatText
dc.format.extent26 pages
dc.format.medium1 file (.pdf)
dc.identifier.citationLaurence, P., & Stredulinsky, E. (2003). A comparison principle for an American option on several assets: Index and spread options. <i>Electronic Journal of Differential Equations, 2003</i>(74), pp. 1-26.
dc.identifier.issn1072-6691
dc.identifier.urihttps://hdl.handle.net/10877/13014
dc.language.isoen
dc.publisherSouthwest Texas State University, Department of Mathematics
dc.rightsAttribution 4.0 International
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.sourceElectronic Journal of Differential Equations, 2003, San Marcos, Texas: Southwest Texas State University and University of North Texas.
dc.subjectAmerican options
dc.subjectVariational inequalities
dc.subjectFree boundary
dc.subjectParabolic equations
dc.subjectFinance
dc.subjectSymmetrization
dc.subjectOptimal stopping
dc.subjectRearrangements
dc.titleA comparison principle for an American option on several assets: Index and spread options
dc.typeArticle

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