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Calculating the American options in the default model. (English. Russian original) Zbl 1126.93436

Autom. Remote Control 68, No. 3, 513-522 (2007); translation from Avtom. Telemekh. 68, No. 3, 154-164 (2007).
Summary: For the binomial model of the derivative securities market, consideration was given to calculation of prices and optimal instants of execution for the American instruments in the model with possible default (repudiation of a contract) by the contract holder. The results were obtained for the buyer and seller options with discount.

MSC:

93E20 Optimal stochastic control
91G80 Financial applications of other theories
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