Maurizio Pratelli

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In this paper we analyze some problems arising in the evaluation of American options when the underlying security pays discrete dividends. To this aim, we study the problem of maximizing the expected gain process over stopping times taking values in the union of disjoint, real compact sets. The results we obtain can be applied to evaluate options with(More)
We propose here a theory of cylindrical stochastic integration, recently developed by Mikulevicius and Rozovskii, as mathematical background to the theory of bond markets. In this theory, since there is a continuum of securities, it seems natural to define a portfolio as a measure on maturities. However, it turns out that this set of strategies is not(More)
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