Strict Local Martingale Deflators and Pricing American Call-type Options
نویسندگان
چکیده
We solve the problem of pricing and optimal exercise of American call-type options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical Analysis, 15:89168, 2009].
منابع مشابه
Strict local martingale deflators and valuing American call-type options
We develop a new theory for pricing call type American options in complete markets which do not necessarily admit an equivalent local martingale measure. This resolve an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical Analysis, 15:89168, 2009].
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