Valuation of American options in the presence of event risk
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- Dai, Min & Kwok, Yue Kuen & You, Hong, 2007. "Intensity-based framework and penalty formulation of optimal stopping problems," Journal of Economic Dynamics and Control, Elsevier, vol. 31(12), pages 3860-3880, December.
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KeywordsAmerican options; Israeli options; event risk;
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