The valuation of American options in a multidimensional exponential Levy model

摘要

We consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follow a multidimensional exponential Levy model. We carefully examine the relation between the option prices, related partial integro-differential variational inequalities, and reflected backward stochastic differential equations. In particular, we prove regularity results for the value function and obtain the early exercise premium formula for a broad class of payoff functions.