Pricing derivatives of American and game type in incomplete markets

DOI10.1007/s00780-003-0110-7zbMath1052.91039OpenAlexW2095499328MaRDI QIDQ1887275

Jan Kallsen, Christoph Kühn

Publication date: 24 November 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-003-0110-7

zbMATH Keywords

American optionsDynkin game\(\sigma\)-supermartingalegame contingent claimsneutral derivative pricing

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)

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