1. Probabilistic solution of the American options
- Author
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Üstünel, Ali Süleyman
- Subjects
- *
STOCK options , *STOCK exchanges , *DISTRIBUTION (Probability theory) , *EXISTENCE theorems , *MATHEMATICAL proofs , *SOBOLEV spaces , *MATHEMATICAL models in business - Abstract
Abstract: The 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 and for nondegenerate Itô processes in the sense of the Malliavin calculus. [Copyright &y& Elsevier]
- Published
- 2009
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