Pricing derivatives of American and game type in incomplete markets
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Publication:1887275
DOI10.1007/s00780-003-0110-7zbMath1052.91039MaRDI QIDQ1887275
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
American options; Dynkin game; \(\sigma\)-supermartingale; game contingent claims; neutral derivative pricing
91B16: Utility theory
91B24: Microeconomic theory (price theory and economic markets)
60G48: Generalizations of martingales
91A15: Stochastic games, stochastic differential games
91G20: Derivative securities (option pricing, hedging, etc.)
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