Strict local martingale deflators and valuing American call-type options
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Publication:1761442
DOI10.1007/s00780-011-0155-yzbMath1269.60045arXiv0908.1082MaRDI QIDQ1761442
Constantinos Kardaras, Hao Xing, Erhan Bayraktar
Publication date: 15 November 2012
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0908.1082
60G48: Generalizations of martingales
60G40: Stopping times; optimal stopping problems; gambling theory
60G44: Martingales with continuous parameter
91G20: Derivative securities (option pricing, hedging, etc.)
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