On the pricing of American options in exponential Lévy markets

Journal of Applied Probability

Volumn 44, Issue 2, 2007, Pages 409-419

  Ivanov, Roman V ^a  

^a TRAPEZNIKOV INSTITUTE OF CONTROL SCIENCES   (Russian Federation)

Author keywords

American option; Incomplete market; L vy process; Lower price; Optimal stopping; Upper price

Indexed keywords

EID: 34548020542     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1183667410     Document Type: Article

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