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Theory of Probability and Mathematical Statistics
Theory of Probability and Mathematical Statistics
ISSN 1547-7363(online) ISSN 0094-9000(print)

 

On a constant related to American type options


Author: Georgiĭ Shevchenko
Translated by: S. Kvasko
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, tom 82 (2010).
Journal: Theor. Probability and Math. Statist. 82 (2011), 171-175
MSC (2010): Primary 60G40; Secondary 60J65, 35R35
Published electronically: August 5, 2011
MathSciNet review: 2790492
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Abstract: We discuss a constant which arises in several problems related to optimal exercise of American derivative securities.


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Additional Information

Georgiĭ Shevchenko
Affiliation: Department of Probability Theory, Statistics, and Actuarial Mathematics, Faculty for Mechanics and Mathematics, National Taras Shevchenko University, Academician Glushkov Avenue 2, Kiev 03127, Ukraine
Email: zhora@univ.kiev.ua

DOI: http://dx.doi.org/10.1090/S0094-9000-2011-00836-8
PII: S 0094-9000(2011)00836-8
Keywords: Optimal stopping, geometric Brownian motion, American option, a free boundary problem
Received by editor(s): February 22, 2010
Published electronically: August 5, 2011
Additional Notes: The author is indebted to the European Commission for support in the framework of the “Marie Curie Actions” program, grant PIRSES-GA-2008-230804
Article copyright: © Copyright 2011 American Mathematical Society