Pricing derivatives of American and game type in incomplete markets
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Publication:1887275
DOI10.1007/s00780-003-0110-7zbMath1052.91039OpenAlexW2095499328MaRDI QIDQ1887275
Publication date: 24 November 2004
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-003-0110-7
American optionsDynkin game\(\sigma\)-supermartingalegame contingent claimsneutral derivative pricing
Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)
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