Pricing Multidimensional American Options

Elettra Agliardi and Rossella Agliardi
Additional contact information
Rossella Agliardi: Department of Mathematics, University of Bologna, Viale Filopanti 5, 40126 Bologna, Italy

IJFS, 2023, vol. 11, issue 1, 1-10

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.

Keywords: American options; optimal exercise boundary; multidimensional stochastic processes; optimal stopping (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-7072/11/1/51/pdf (application/pdf)
https://www.mdpi.com/2227-7072/11/1/51/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jijfss:v:11:y:2023:i:1:p:51-:d:1104453

Access Statistics for this article

IJFS is currently edited by Ms. Hannah Lu

More articles in IJFS from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().