00-15   Berichtsreihe des Mathematischen Seminars der Universität Kiel

Volkert Paulsen:

The American put on a stock index

Let us consider n stocks with dependent price processes each following a geometric Brownian motion. A reasonable approximation of the early exercise region for an American put on an index of those stocks will be given in the infinitely running time case. Furthermore we provide an exact solution for an American put on the geometric average of a number of stocks.

Mathematics Subject Classification (1991): 60G40, 60J70, 60H30

Keywords: American option, options on multiple assets, optimal stopping, geometric Brownian motion

Mail an Jens Burmeister
[Thu Feb 19 18:56:35 2009]
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