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Exercise regions of American options on several assets

Listed author(s):
  • Stephane Villeneuve


    (Equipe d'Analyse et de Math\' ematiques AppliquÊes, UniversitÊ de Marne-la-VallÊe, 2 rue de la Butte Verte, F-93166 Noisy-le-Grand Cedex, France Manuscript)

In this paper, we study the nonemptiness and the shape of the exercise region of American options written on several assets. Our contribution is threefold. First, we state an analytic theorem which characterizes the nonemptiness of the exercise region. Second, we study a particular class of payoff functions for which we explicitly identify the shape and the asymptotic behavior near maturity of the associated exercise region. Finally, we present additional results which complement the Broadie and Detemple results concerning the valuation of various types of American options on several assets.

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Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 3 (1999)
Issue (Month): 3 ()
Pages: 295-322

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Handle: RePEc:spr:finsto:v:3:y:1999:i:3:p:295-322
Note: received: June 1997; final version received: July 1998
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