Open AccessEVOLUTION OF AMERICAN OPTION VALUE FUNCTION ON A DIVIDEND PAYING STOCK UNDER JUMP-DIFFUSION PROCESSES
Author(s) -
Назир Рехман,
Назир Рехман,
Закир Хуссейн,
Zakir Khusseyn,
Файха Али,
Faykha Ali,
Ольга Бендерская,
Olga Benderskaya,
Султан Хуссейн,
Sultan Khusseyn,
Сергей Зуев,
Sergey Zuev
Publication year - 2017
Publication title -
vestnik bgtu im. v.g. šuhova
Language(s) - English
Resource type - Journals
ISSN - 2071-7318
DOI - 10.12737/article_58e24de420f6a0.19667564
Subject(s) - jump diffusion , bellman equation , dividend , jump , value (mathematics) , stock options , mathematics , stock (firearms) , function (biology) , put option , penalty method , dividend yield , diffusion , mathematical economics , economics , mathematical optimization , financial economics , econometrics , dividend policy , finance , statistics , physics , engineering , thermodynamics , quantum mechanics , mechanical engineering , evolutionary biology , biology
This work is devoted to the analysis and evolution of the value function of American type options on a dividend paying stock under jump diffusion processes. An equivalent form of the value function is obtained and analyzed. Moreover, variational inequalities satisfied by this function are investigated. These results can be used to investigate the optimal hedging strategies and optimal exercise boundaries of the corresponding options.