Strict Local Martingale Deflators and Valuing American Call-Type Options

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)

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Year of publication:	2016
Authors:	Bayraktar, Erhan
Other Persons:	Kardaras, Constantinos (contributor) ; Xing, Hao (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Martingal \| Martingale \| Optionspreistheorie \| Option pricing theory \| Deflation \| Optionsgeschäft \| Option trading

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Extent:	1 Online-Ressource (17 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Finance Stochastics, Vol. 16, No. 2, 2012 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 2, 2010 erstellt
Classification:	G13 - Contingent Pricing; Futures Pricing ; C60 - Mathematical Methods and Programming. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012990968