BFS 2002

Poster Presentation




Properties of American Option Prices

Erik Ekström


We investigate some general properties of American option prices when the volatility is time-dependent and level-dependent. We use a time change due to Janson and Tysk to derive monotonicity in the volatility for certain (not necessarily convex) contract functions. We also consider convexity in the underlying stock price when the contract function is convex, time decay and continuity in the volatility.