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The American Option

  • RobertĀ J.Ā Elliott
  • P.Ā EkkehardĀ Kopp
Part of the Springer Finance book series (FINANCE)

Abstract

As in Chapter 7, we suppose there is an underlying probability space (Ī©, F, Q). The time parameter t takes values in [0,T]. There is a filtration š”½ = {F t } that satisfies the ā€˜usual conditionsā€™ (see Chapter 6, page 99).

Keywords

Trading StrategyĀ Free Boundary ProblemĀ American OptionĀ Arbitrage OpportunityĀ Consumption ProcessĀ 
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

Ā©Ā Springer Science+Business Media New YorkĀ 1999

Authors and Affiliations

  • RobertĀ J.Ā Elliott
    • 1
  • P.Ā EkkehardĀ Kopp
    • 2
  1. 1.Department of Mathematical SciencesUniversity of AlbertaEdmontonCanada
  2. 2.Pro-Vice-Chancellorsā€™ OfficeThe University of HullHullUK

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