Strict Local Martingale Deflators and Pricing American Call-Type Options

Erhan Bayraktar, Constantinos Kardaras and Hao Xing

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Abstract: We solve the problem of pricing and optimal exercise of American call-type options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical Analysis, 15:89-168, 2009].

Date: 2009-08, Revised 2009-12
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Citations: View citations in EconPapers (5)

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