The valuation of American options in a multidimensional exponential Lévy model
研究了支付股息资产的美式期权估值问题，资产价格遵循多维指数Lévy模型，证明了价值函数的正则性并给出了提前行权溢价公式。
Abstract We consider the problem of valuation of American options written on dividend‐paying assets whose price dynamics follow a multidimensional exponential Lévy 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.