On the pricing of American options

DOI10.1007/BF01448358zbMath0699.90010MaRDI QIDQ913622

Ioannis Karatzas

Publication date: 1988

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

American optionsvaluation for contingent claims

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Interest rates, asset pricing, etc. (stochastic models) (91G30) Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)

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Cites Work

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• The Pricing of Options and Corporate Liabilities
• On the theory of option pricing
• Martingales and stochastic integrals in the theory of continuous trading
• On optimal stopping and free boundary problems
• A stochastic calculus model of continuous trading: Complete markets
• Temps d'arrÊt optimal, théorie générale des processus et processus de Markov
• Optimal Stopping of a Markov Process
• Optimal Stopping Rules for Stochastic Processes with Continuous Parameter
• Mathematics of Speculative Price

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