On perpetual American options in a multidimensional Black–Scholes model

نویسندگان

چکیده

We consider the problem of pricing perpetual American options written on dividend-paying assets whose price dynamics follow a multidimensional Black and Scholes model. For convex Lipschitz continuous reward functions, we give probabilistic characterization fair in terms reflected BSDE, an analytical one obstacle problem. also provide early exercise premium formula.

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ژورنال

عنوان ژورنال: Stochastics

سال: 2021

ISSN: ['2472-7067', '0090-9491']

DOI: https://doi.org/10.1080/17442508.2021.1993444