American prices embedded in european prices
Benjamin Jourdain; Claude Martini
Annales de l'I.H.P. Analyse non linéaire (2001)
- Volume: 18, Issue: 1, page 1-17
- ISSN: 0294-1449
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topJourdain, Benjamin, and Martini, Claude. "American prices embedded in european prices." Annales de l'I.H.P. Analyse non linéaire 18.1 (2001): 1-17. <http://eudml.org/doc/78511>.
@article{Jourdain2001,
author = {Jourdain, Benjamin, Martini, Claude},
journal = {Annales de l'I.H.P. Analyse non linéaire},
keywords = {American options; Black-Scholes framework; derivatives},
language = {eng},
number = {1},
pages = {1-17},
publisher = {Elsevier},
title = {American prices embedded in european prices},
url = {http://eudml.org/doc/78511},
volume = {18},
year = {2001},
}
TY - JOUR
AU - Jourdain, Benjamin
AU - Martini, Claude
TI - American prices embedded in european prices
JO - Annales de l'I.H.P. Analyse non linéaire
PY - 2001
PB - Elsevier
VL - 18
IS - 1
SP - 1
EP - 17
LA - eng
KW - American options; Black-Scholes framework; derivatives
UR - http://eudml.org/doc/78511
ER -
References
top- 1 Crank J, Free and Moving Boundary Problems, Oxford University Press, 1984. Zbl0547.35001MR776227
- 2 Martini C, The UVM model and American options, Rapport de Recherche no 3697, INRIA, 1999.
- 3 Musiela M, Rutkowski M, Martingale Methods In Financial Modelling, Springer, 1998. Zbl0906.60001
- 4 Revuz D, Yor M, Continuous Martingales and Brownian Motion, Springer, 1991. Zbl0731.60002MR1083357
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