Optimal stopping in Hilbert spaces and pricing of American options

被引：10
|
作者：
Ga̧tarek D. [1 ,2 ]
Świçch A. [3 ]
机构：
[1] BRE Bank SA, 00-950 Warszawa
[2] Systems Research Institute, 01-447 Warszawa
[3] School of Mathematics, Georgia Institute of Technology, Atlanta
来源：
Mathematical Methods of Operations Research | 1999年 / 50卷 / 1期
关键词：
Obstacle problems; Optimal stopping; Option pricing; Viscosity solutions;
D O I：
10.1007/s001860050040
中图分类号：
学科分类号：
摘要：
We consider an optimal stopping problem for a Hubert-space valued diffusion. We prove that the value function of the problem is the unique viscosity solution of an obstacle problem for the associated parabolic partial differential equation in the Hilbert space. The results are applied to investigate the pricing of American interest rate options in the lognormal Heath-Jarrow-Morton model of yield curve dynamics.
引用
收藏
页码：135 / 147
页数：12
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