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Theses

Options Américaines et frontières libres

Abstract : This thesis aims at improving our knowledge of American options exercise regions. In the first part, we present some European and American options value functions properties. In the second part, we use these results to give the critical price behavior near the maturity of an American option on a dividend-paying asset with a volatility which depends on time and the asset value. In the third part, we study a problem related to the valuation of a pension plan. We prove that the previous results enable us to get the behavior of the pension plan exercise region near the maturity. The fourth part is devoted to the study of an American put option on a linear function of d dividend-paying assets. We extend the second part results by describing the free boundary near maturity in the case d>1. Finally, we conclude this work with studying the approximation of an American option by a Bermudean option.
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https://tel.archives-ouvertes.fr/tel-00008823
Contributor : Etienne Chevalier <>
Submitted on : Saturday, March 19, 2005 - 6:34:46 PM
Last modification on : Thursday, March 19, 2020 - 12:26:02 PM
Long-term archiving on: : Friday, September 14, 2012 - 12:05:29 PM

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  • HAL Id : tel-00008823, version 1

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Etienne Chevalier. Options Américaines et frontières libres. Mathématiques [math]. Université de Marne la Vallée, 2004. Français. ⟨tel-00008823⟩

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