Valuation of American options under the CGMY model
研究了CGMY过程下美式期权的解析定价，给出了分解公式和最优执行边界的积分方程，并推导了短期和长期到期的近似定价公式，附有数值模拟。
In the present work, we concentrate on the analytical study of American options under the CGMY process. The decomposition formula of the American option and the integral equation for the optimal-exercise boundary are established in explicit forms. Moreover, an analytical approximation formula is obtained for the American value. This approximation is valid when time to maturity is either very short or very long. Numerical simulations are provided for European options, optimal-exercise prices and approximate values for American options.