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Stopping Times and American Options

  • Robert J. Elliott
  • P. Ekkehard Kopp
Part of the Springer Finance book series (FINANCE)

Abstract

American options differ fundamentally from their European counterparts, since the exercise date is now at the holder’s disposal, and not fixed in advance. The only constraint is that the option ceases to be valid at time T and thus cannot be exercised after the expiry date T.

Keywords

American Option Contingent Claim Hedging Strategy Predictable Process Uniformly Integrable 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 1999

Authors and Affiliations

  • Robert J. Elliott
    • 1
  • P. Ekkehard Kopp
    • 2
  1. 1.Department of Mathematical SciencesUniversity of AlbertaEdmontonCanada
  2. 2.Pro-Vice-Chancellors’ OfficeThe University of HullHullUK

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