Strict local martingale deflators and valuing American call-type options

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

zbMATH Keywords

strict local martingales; deflators; American call options

Mathematics Subject Classification ID

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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WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS, Valuation and Parities for Exchange Options, Outperforming the market portfolio with a given probability, Negative call prices, The lifetime of a financial bubble, Diffusion transformations, Black-Scholes equation and optimal stopping, Asymptotic asset pricing and bubbles, Strict local martingales and bubbles, Bubbles in discrete-time models, A Mathematical Theory of Financial Bubbles, On the uniqueness of classical solutions of Cauchy problems

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