Pricing derivatives of American and game type in incomplete markets
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- Hsuan-Ku Liu, 2013. "The pricing formula for cancellable European options," Papers 1304.5962, arXiv.org, revised Sep 2014.
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- repec:wsi:afexxx:v:12:y:2017:i:03:n:s2010495217500154 is not listed on IDEAS
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KeywordsAmerican options; game contingent claims; neutral derivative pricing; incomplete markets; Dynkin game; $sigma$ -supermartingales;
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