Properties of American option prices

Erik Ekstrom, Erik Ekström

    Research output: Contribution to journalArticlepeer-review


    We investigate some properties of American option prices in the setting of time- and level-dependent volatility. The properties under consideration are convexity in the underlying stock price, monotonicity and continuity in the volatility and time decay. Some properties are direct consequences of the corresponding properties of European option prices that are already known, and some follow by writing solutions of different stochastic differential equations as time changes of the same Brownian motion. © 2004 Elsevier B.V. All rights reserved.
    Original languageEnglish
    Pages (from-to)265-278
    Number of pages13
    JournalStochastic Processes and their Applications
    Issue number2
    Publication statusPublished - Dec 2004


    • Optimal stopping
    • Options
    • Stochastic time change
    • Volatility


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