ЭВОЛЮЦИЯ ФУНКЦИИ ЦЕНЫ АМЕРИКАНСКОГО ОПЦИОНА НА АКЦИИ С ВЫПЛАТОЙ ДИВИДЕНДОВ В МОДЕЛИ ДИФФУЗИИ СО СКАЧКАМИ

Abstract

This work is devoted to the analysis and evolution of the value function of American type options on a dividend paying stock under jump diffusion processes. An equivalent form of the value function is obtained and analyzed. Moreover, variational inequalities satisfied by this function are investigated. These results can be used to investigate the optimal hedging strategies and optimal exercise boundaries of the corresponding options.