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Bounds for the American perpetual put on a stock index

Published online by Cambridge University Press:  14 July 2016

V. Paulsen*
Affiliation:
Universität Kiel
*
Postal address: Universität Kiel, Mathematisches Seminar, Ludewig Meyn Str. 4, D-24098 Kiel, Germany. Email address: [email protected]

Abstract

Let us consider n stocks with dependent price processes each following a geometric Brownian motion. We want to investigate the American perpetual put on an index of those stocks. We will provide inner and outer boundaries for its early exercise region by using a decomposition technique for optimal stopping.

Type
Research Papers
Copyright
Copyright © by the Applied Probability Trust 2001 

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