THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS1

DOI10.1111/j.1467-9965.1994.tb00061.xzbMath0884.90047OpenAlexW1987935994MaRDI QIDQ4372041

Marek Rutkowski

Publication date: 21 January 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1994.tb00061.x

zbMATH Keywords

optimal stoppingoption pricingAmerican optionearly exercise premiumRiesz decomposition

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items

Commodity spread option with cointegration, The American put with finite‐time maturity and stochastic interest rate, The valuation of American call options on the minimum of two dividend-paying assets, An FBSDE approach to American option pricing with an interacting particle method, American chooser options, Nonparametric estimation of American options' exercise boundaries and call prices

Cites Work

• Unnamed Item
• Optimization Problems in the Theory of Continuous Trading
• A new approach to the skorohod problem, and its applications