A comparison principle for an American option on several assets: Index and spread options
Using the method of symmetrization, we compare the price of the American option on an index or spread to that of the solution of a parabolic variational inequality in one spatial variable. This comparison principle is established for a broad class of diffusion operators with time and state dependent...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Texas State University
2003-07-01
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| Series: | Electronic Journal of Differential Equations |
| Subjects: | |
| Online Access: | http://ejde.math.txstate.edu/Volumes/2003/74/abstr.html |