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Exercisability Randomization of the American Option
(Taylor & Frances Online, 2008)
The valuation of American options is an optimal stopping time problem which typically leads to a free boundary problem. We introduce here the randomization of the exercisability of the option. This method considerably ...
Martingale problem for superprocesses with non-classical branching functional
The martingale problem for superprocesses with parameters (𝛏, Ф, 𝑘) is studied where 𝑘(𝒹𝑠) may not be absolutely continuous with respect to the Lebesgue measure. This requires a generalization of the concept of ...