Stopping Times and American Options

  • Robert J. Elliott
  • P. Ekkehard Kopp
Part of the Springer Finance book series (FINANCE)


American options differ fundamentally from their European counterparts, since the exercise date is now at the holder’s disposal, and not fixed in advance. The only constraint is that the option ceases to be valid at time T and thus cannot be exercised after the expiry date T.


American Option Contingent Claim Hedging Strategy Predictable Process Uniformly Integrable 
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Copyright information

© Springer Science+Business Media New York 1999

Authors and Affiliations

  • Robert J. Elliott
    • 1
  • P. Ekkehard Kopp
    • 2
  1. 1.Department of Mathematical SciencesUniversity of AlbertaEdmontonCanada
  2. 2.Pro-Vice-Chancellors’ OfficeThe University of HullHullUK

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