Strict local martingale deflators and valuing American call-type options

DOI10.1007/s00780-011-0155-yzbMath1269.60045arXiv0908.1082OpenAlexW2109146259MaRDI 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 martingalesdeflatorsAmerican call options

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

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

Cites Work

• Bubbles, convexity and the Black-Scholes equation
• Analysis of continuous strict local martingales via \(h\)-transforms
• On optimal arbitrage
• No arbitrage condition for positive diffusion price processes
• Diversity and relative arbitrage in equity markets
• Arbitrage possibilities in Bessel processes and their relations to local martingales
• The numéraire portfolio in semimartingale financial models
• Local martingales, bubbles and option prices
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• On the uniqueness of classical solutions of Cauchy problems
• Stochastic Portfolio Theory: an Overview
• Numerical option pricing in the presence of bubbles
• Class 𝐷 supermartingales
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Strict local martingale deflators and valuing American call-type options