Probabilistic solution of the American options

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dc.creatorÜstünel, Ali Süleyman
dc.date2008-09-03
dc.date2008-10-09
dc.date.accessioned2026-07-07T10:08:23Z
dc.date.available2026-07-07T10:08:23Z
dc.descriptionThe existence and uniqueness of probabilistic solutions of variational inequalities for the general American options are proved under the hypothesis of hypoellipticity of the infinitesimal generator of the underlying diffusion process which represents the risky assets of the stock market with which the option is created. The main tool is an extension of the Itô formula which is valid for the tempered distributions on $\R^d$ and for nondegenerate Itô processes in the sense of the Malliavin calculus.
dc.identifierhttps://arxiv.org/abs/0809.0611
dc.identifierhttp://arxiv.org/abs/0809.0611
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/170975
dc.subjectProbability
dc.subject60Hxx, 35K6
dc.titleProbabilistic solution of the American options
dc.typetext

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