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American Prices Embedded in European Prices

Benjamin Jourdain 1 Claude Martini 1
1 MATHFI - Financial mathematics
Inria Paris-Rocquencourt, ENPC - École des Ponts ParisTech, UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12
Abstract : In this paper, we are interested in American option prices in the Black-Schole- s model. For a large class of payoffs, we show that in the region where the European price increases with the time to maturity, this price is equal to the American price of another claim. We give examples in which we explicit the corresponding claims. The characterization of the American claims obtained in this way remains an open question.
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https://hal.inria.fr/inria-00072860
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Submitted on : Wednesday, May 24, 2006 - 11:07:12 AM
Last modification on : Thursday, February 3, 2022 - 11:18:17 AM
Long-term archiving on: : Thursday, March 24, 2011 - 12:18:17 PM

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  • HAL Id : inria-00072860, version 1

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Benjamin Jourdain, Claude Martini. American Prices Embedded in European Prices. [Research Report] RR-3799, INRIA. 1999. ⟨inria-00072860⟩

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