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Integral equations for Rost’s reversed barriers: Existence and uniqueness results

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  • De Angelis, Tiziano
  • Kitapbayev, Yerkin

Abstract

We establish that the boundaries of the so-called Rost’s reversed barrier are the unique couple of left-continuous monotonic functions solving a suitable system of nonlinear integral equations of Volterra type. Our result holds for atom-less target distributions μ of the related Skorokhod embedding problem.

Suggested Citation

  • De Angelis, Tiziano & Kitapbayev, Yerkin, 2017. "Integral equations for Rost’s reversed barriers: Existence and uniqueness results," Stochastic Processes and their Applications, Elsevier, vol. 127(10), pages 3447-3464.
    • Handle: RePEc:eee:spapps:v:127:y:2017:i:10:p:3447-3464
    DOI: 10.1016/j.spa.2017.01.009
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    References listed on IDEAS

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    1. Gassiat, Paul & Oberhauser, Harald & dos Reis, Gonçalo, 2015. "Root’s barrier, viscosity solutions of obstacle problems and reflected FBSDEs," Stochastic Processes and their Applications, Elsevier, vol. 125(12), pages 4601-4631.
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    5. Siim Kallast & Andi Kivinukk, 2003. "Pricing and Hedging American Options Using Approximations by Kim Integral Equations," Review of Finance, European Finance Association, vol. 7(3), pages 361-383.
    6. Goran Peskir, 2005. "On The American Option Problem," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 169-181, January.
    7. Alexander M. G. Cox & Jiajie Wang, 2013. "Optimal robust bounds for variance options," Papers 1308.4363, arXiv.org.
    8. Kim, In Joon, 1990. "The Analytic Valuation of American Options," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 547-572.
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    Cited by:

    1. Tiziano De Angelis, 2020. "Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon," Papers 2009.01276, arXiv.org, revised Jan 2022.

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