Strict Local Martingale Deflators and Pricing American Call-Type Options
AbstractWe solve the problem of pricing and optimal exercise of American call-type options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical Analysis, 15:89-168, 2009].
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0908.1082.
Date of creation: Aug 2009
Date of revision: Dec 2009
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Web page: http://arxiv.org/
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