A Remark on American Securities

Shigeo Kusuoka
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Shigeo Kusuoka: University of Tokyo, Graduate School of Mathematical Sciences

A chapter in Itô’s Stochastic Calculus and Probability Theory, 1996, pp 213-231 from Springer

Abstract: 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.

Keywords: Trading Strategy; Hedging Strategy; Predictable Process; Short Sale; Complete Probability Space (search for similar items in EconPapers)
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-68532-6_14

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DOI: 10.1007/978-4-431-68532-6_14

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