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Optimal Exercise of American Claims When Markets Are Not Complete

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Author Info
L. C. Rogers
Jose A. Scheinkman

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Paper provided by UCLA Department of Economics in its series Levine's Bibliography with number 506439000000000114.

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Date of creation: 21 Jan 2003
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Handle: RePEc:cla:levrem:506439000000000114

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Jérôme B. Detemple & Suresh Sundaresan, 1999. "Non-Traded Asset Valuation with Portfolio Constraints: A Binomial Approach," CIRANO Working Papers 99s-08, CIRANO. [Downloadable!]
  2. Detemple, Jerome & Sundaresan, Suresh, 1999. "Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(4), pages 835-72.
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  1. Wei Xiong & Ronnie Sircar, 2004. "Evaluating Incentive Options," Econometric Society 2004 North American Winter Meetings 253, Econometric Society. [Downloadable!]
  2. M. R. Grasselli, 2005. "Nonlinearity, correlation and the valuation of employee stock options," Quantitative Finance Papers math/0511234, arXiv.org. [Downloadable!]
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