On the pricing of American options. (English) Zbl 0699.90010

Summary: The problem of valuation for contingent claims that can be exercised at any time before or at maturity, such as American options, is discussed in the manner of A. Bensoussan [Acta Appl. Math. 2, 139-158 (1984; Zbl 0554.90019)]. We offer an approach which both simplifies and extends the results of existing theory on this topic.


91G30 Interest rates, asset pricing, etc. (stochastic models)
91G10 Portfolio theory
60G40 Stopping times; optimal stopping problems; gambling theory
90C40 Markov and semi-Markov decision processes


Zbl 0554.90019
Full Text: DOI


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