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

MaRDI QIDQ5481308zbMATH OpenFDO

Authors Yongjuan Chen, Ji-Chun Liu, Shunfa Lin

Publication date 9 August 2006

zbMATH Keywords

optimal stopping timegame optionsevent riskpermanent American options

Mathematics Subject Classification ID

Recommendations

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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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