Strict Local Martingale Deflators and Pricing American Call-Type Options

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, 15:89-168, 2009].

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Year of publication:	2009-08
Authors:	Bayraktar, Erhan ; Kardaras, Constantinos ; Xing, Hao
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005084336