The valuation of permanent American options in the presence of event risk

zbMATH Open1136.91418MaRDI QIDQ5481308FDOQ5481308

Authors: Yongjuan Chen, Ji-Chun Liu, Shunfa Lin 

Publication date: 9 August 2006

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zbMATH Keywords

optimal stopping timegame optionsevent riskpermanent American options

Mathematics Subject Classification ID

Cited In (3)

• Event risk, contingent claims and the temporal resolution of uncertainty
• Valuation of a nonexpiring American option on the maximum of a risky and a riskless asset
• Valuation of American options in the presence of event risk

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