We develop a new theory for pricing call type American options in complete markets which do not necessarily admit an equivalent local martingale measure. This resolve an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical Analysis, 15:89-168, 2009].
We solve the problem of pricing and optimal exercise of American call-type options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical Analysis, 15:89-168, 2009].
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develop a new theory for pricing call type American options in complete
solve the problem of pricing and optimal exercise of American call-type options in
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resolve
resolves