Strict local martingale deflators and valuing American call-type options

Bayraktar, Erhan; Kardaras, ConstantinosORCID logo; and Xing, Hao (2011) Strict local martingale deflators and valuing American call-type options. Finance and Stochastics, 16 (2). pp. 275-291. ISSN 0949-2984
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We solve the problem of valuing and optimal exercise of American calltype options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question proposed by Karatzas and Fernholz (Handbook of Numerical Analysis, vol. 15, pp. 89–167, Elsevier, Amsterdam, 2009).
Item Type Article
Keywords strict local martingales,deflators,American call options
Departments Statistics
DOI 10.1007/s00780-011-0155-y
Date Deposited 07 Sep 2011 12:31
URI https://researchonline.lse.ac.uk/id/eprint/38151

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