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

Stopping times; optimal stopping problems; gambling theory (60G40) Interest rates, asset pricing, etc. (stochastic models) (91G30) Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)

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