The American Option

  • RobertĀ J.Ā Elliott
  • P.Ā EkkehardĀ Kopp
Part of the Springer Finance book series (FINANCE)


As in Chapter 7, we suppose there is an underlying probability space (Ī©, F, Q). The time parameter t takes values in [0,T]. There is a filtration š”½ = {F t } that satisfies the ā€˜usual conditionsā€™ (see Chapter 6, page 99).


Trading StrategyĀ Free Boundary ProblemĀ American OptionĀ Arbitrage OpportunityĀ Consumption ProcessĀ 
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Copyright information

Ā©Ā Springer Science+Business Media New YorkĀ 1999

Authors and Affiliations

  • RobertĀ J.Ā Elliott
    • 1
  • P.Ā EkkehardĀ Kopp
    • 2
  1. 1.Department of Mathematical SciencesUniversity of AlbertaEdmontonCanada
  2. 2.Pro-Vice-Chancellorsā€™ OfficeThe University of HullHullUK

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