This paper concerns the pricing of American options with stochastic stopping time constraints expressed in terms of the states of a Markov process. Following the ideas of Menaldi, Robin, and Sun (1996) we transform the constrained into an unconstrained optimal stopping problem. The...

Institutional but also private investors have often limited flexibility in timing their investment decision. Therefore, they look for investments that would ideally be independent of the timing decision. We introduce a new class of derivative products whose payoff is linked to the trend of the...