A new explicit form is provided for the solution of optimal stopping problems involving a multidimensional geometric Brownian motion. A free-boundary value approach is adopted and the value function is obtained via fundamental solution methods. There are many applications for the valuation of perpetual options of American style, which are of interest for finance and managerial decisions. © 2023 by the authors.
Elettra Agliardi, Rossella Agliardi (2023). Pricing multidimensional American options. INTERNATIONAL JOURNAL OF FINANCIAL STUDIES, 11(1), 1-10 [10.3390/ijfs11010051].
Pricing multidimensional American options
Elettra Agliardi
;Rossella Agliardi
2023
Abstract
A new explicit form is provided for the solution of optimal stopping problems involving a multidimensional geometric Brownian motion. A free-boundary value approach is adopted and the value function is obtained via fundamental solution methods. There are many applications for the valuation of perpetual options of American style, which are of interest for finance and managerial decisions. © 2023 by the authors.File in questo prodotto:
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