Publication: American Options with Stochastic Stopping Time Constraints
American Options with Stochastic Stopping Time Constraints
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Leippold, M., & Egloff, D. (2009). American Options with Stochastic Stopping Time Constraints. Applied Mathematical Finance, 16(3), 287–305. https://doi.org/10.1080/13504860802645706
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This paper concerns the pricing of American options with stochastic stopping time constraints expressed in terms of the states of a Markov process. Following the ideas of Menaldi et al., we transform the constrained into an unconstrained optimal stopping problem. The transformation replaces the original payoff by the value of a generalized barrier option. We also provide a Monte Carlo method to numerically calculate the option value for multidimensional Markov processes. We adapt the Longstaff-Schwartz algorithm to solve the stochasti
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- Egloff, Daniel
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Citations
Leippold, M., & Egloff, D. (2009). American Options with Stochastic Stopping Time Constraints. Applied Mathematical Finance, 16(3), 287–305. https://doi.org/10.1080/13504860802645706
