Valuation of American options in the presence of event risk

DOI10.1007/s00780-004-0141-8zbMath1078.91011OpenAlexW2066230961MaRDI QIDQ1776028

Alex Szimayer

Publication date: 20 May 2005

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-004-0141-8

zbMATH Keywords

American optionsIsraeli optionsevent risk

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Calculating the American options in the default model ⋮ On the problem of optimal stopping for the composite Russian option ⋮ Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information ⋮ Generalized BSDE and reflected BSDE with random time horizon ⋮ Optimal stopping problem in a model with compensated refusal of reward ⋮ American options in nonlinear markets ⋮ Intensity-based framework and penalty formulation of optimal stopping problems

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