On the Pricing of American Options*

Abstract

The problem of valuation for contingent claims that can be exercised at any time before or at maturity, such as American options, is discussed in the manner of Bensoussan [1]. We offer an approach which both simplifies and extends the results of existing theory on this topic.

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@inproceedings{Karatzas2005OnTP, title={On the Pricing of American Options*}, author={Ioannis Karatzas}, year={2005} }