Strict local martingale deflators and valuing American call-type options

Erhan Bayraktar, Constantinos Kardaras (kardaras@bu.edu) and Hao Xing (h.xing@lse.ac.uk)

Finance and Stochastics, 2012, vol. 16, issue 2, 275-291

Keywords: Strict local martingales; Deflators; American call options; 60G40; 60G44; G13; C60 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00780-011-0155-y (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:finsto:v:16:y:2012:i:2:p:275-291

Ordering information: This journal article can be ordered from
http://www.springer. ... ance/journal/780/PS2

DOI: 10.1007/s00780-011-0155-y

Finance and Stochastics is currently edited by M. Schweizer

More articles in Finance and Stochastics from Springer
Bibliographic data for series maintained by Sonal Shukla (sonal.shukla@springer.com) and Springer Nature Abstracting and Indexing (indexing@springernature.com).