Martingales and upper bounds for American-style options
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Publication:2348474
DOI10.4310/CMS.2015.V13.N3.A5zbMATH Open1321.91113OpenAlexW2333820754MaRDI QIDQ2348474
Publication date: 12 June 2015
Published in: Communications in Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4310/cms.2015.v13.n3.a5
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
Testing the martingale restriction for option implied densities ⋮ On the upper bound of a call option ⋮ A bound on the value of a two-sided Margrabe infinite American option
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