The valuation of American options in a multidimensional exponential Levy model

摘要

We consider the problem of valuation of American options written ondividend-paying assets whose price dynamics follows a multidimensionalexponential Levy model. We carefully examine the relation between the optionprices, related partial integro-differential variational inequalities andreflected backward stochastic differential equations. In particular, we proveregularity results for the value function and obtain the early exercise premiumformula for broad class of payoff functions.