Strict local martingale deflators and valuing American call-type options

被引：10

作者：

Bayraktar, Erhan ^{[2
]}

Kardaras, Constantinos ^{[1
]}

Xing, Hao ^{[3
]}

机构：

[1] Boston Univ, Dept Math & Stat, Boston, MA 02215 USA

[2] Univ Michigan, Dept Math, Ann Arbor, MI 48104 USA

[3] Univ London London Sch Econ & Polit Sci, Dept Stat, London WC2A 2AE, England

来源：

FINANCE AND STOCHASTICS | 2012年 / 16卷 / 02期

基金：

美国国家科学基金会;

关键词：

Strict local martingales; Deflators; American call options; ASSET PRICE BUBBLES; PORTFOLIO; ARBITRAGE; MARKETS;

D O I：

10.1007/s00780-011-0155-y

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We solve the problem of valuing 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 Karatzas and Fernholz (Handbook of Numerical Analysis, vol. 15, pp. 89-167, Elsevier, Amsterdam, 2009).

引用

页码：275 / 291

页数：17

共 20 条

[1]

[Anonymous], 2002, HDB BROWNIAN MOTION, DOI DOI 10.1007/978-3-0348-8163-0

[2]

[Anonymous], Lecture Notes in Math.

[3] ON THE UNIQUENESS OF CLASSICAL SOLUTIONS OF CAUCHY PROBLEMS [J].