A Note on Market Completeness with American Put Options
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Publication:4561927
DOI10.1007/978-3-319-02069-3_4zbMath1418.91505OpenAlexW1772430868MaRDI QIDQ4561927
Publication date: 13 December 2018
Published in: Inspired by Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_4
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
Optimal investment and price dependence in a semi-static market ⋮ No-Arbitrage and Hedging with Liquid American Options
Cites Work
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- TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
- Market completion using options
- Options and Efficiency
- Optimal positioning in derivative securities
- OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
- Optimal investment in derivative securities
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