ON THE LOWER ARBITRAGE BOUND OF AMERICAN CONTINGENT CLAIMS

DOI10.1111/j.1467-9965.2012.00519.xzbMath1291.91202OpenAlexW3125704900MaRDI QIDQ5411397

Beatrice Acciaio, Gregor Svindland

Publication date: 23 April 2014

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

Full work available at URL: http://eprints.lse.ac.uk/50117/

zbMATH Keywords

optimal stopping timeSnell envelopeAmerican contingent claimarbitrage-free price

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• On the theory of option pricing
• On the pricing of American options
• The pricing of the American option
• Hedging American contingent claims with constrained portfolios
• Optimal Stopping With Multiple Priors
• Unnamed Item

This page was built for publication: ON THE LOWER ARBITRAGE BOUND OF AMERICAN CONTINGENT CLAIMS