On the pricing of American options

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Publication:913622

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DOI10.1007/BF01448358zbMath0699.90010MaRDI QIDQ913622

Ioannis Karatzas

Publication date: 1988

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

American options; valuation for contingent claims

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

91G30: Interest rates, asset pricing, etc. (stochastic models)

90C40: Markov and semi-Markov decision processes

91G10: Portfolio theory

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