Bayraktar, Erhan, Kardaras, Constantinos and Xing, Hao (2011) Strict local martingale deflators and valuing American call-type options. Finance and Stochastics, 16 (2). pp. 275-291. ISSN 0949-2984
We solve the problem of valuing and optimal exercise of American calltype options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question proposed by Karatzas and Fernholz (Handbook of Numerical Analysis, vol. 15, pp. 89–167, Elsevier, Amsterdam, 2009).
|Additional Information:||© 2011 Springer|
|Library of Congress subject classification:||Q Science > QA Mathematics|
|Sets:||Departments > Statistics|
|Date Deposited:||07 Sep 2011 12:31|
Actions (login required)
|Record administration - authorised staff only|