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A Remark on American Securities

In: Itô’s Stochastic Calculus and Probability Theory

Author

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  • Shigeo Kusuoka

    (University of Tokyo, Graduate School of Mathematical Sciences)

Abstract

In this paper, we discuss about American securities. To simplify the notions, we only discuss the case that the free risk spot rate is zero and the maturity (or the horizon) is 1 (So the price of free risk bond is constant). Also we assume that there is no dividend or no transaction cost and that there is no restriction on short sale.

Suggested Citation

  • Shigeo Kusuoka, 1996. "A Remark on American Securities," Springer Books, in: Nobuyuki Ikeda & Shinzo Watanabe & Masatoshi Fukushima & Hiroshi Kunita (ed.), Itô’s Stochastic Calculus and Probability Theory, pages 213-231, Springer.
    • Handle: RePEc:spr:sprchp:978-4-431-68532-6_14
    DOI: 10.1007/978-4-431-68532-6_14
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