Abstract
In this paper, we discuss about American securities. To simplify the notions, we only discuss the case that the free risk spot rate is zero and the maturity (or the horizon) is 1 (So the price of free risk bond is constant). Also we assume that there is no dividend or no transaction cost and that there is no restriction on short sale.
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© 1996 Springer-Verlag Tokyo
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Kusuoka, S. (1996). A Remark on American Securities. In: Ikeda, N., Watanabe, S., Fukushima, M., Kunita, H. (eds) Itô’s Stochastic Calculus and Probability Theory. Springer, Tokyo. https://doi.org/10.1007/978-4-431-68532-6_14
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DOI: https://doi.org/10.1007/978-4-431-68532-6_14
Publisher Name: Springer, Tokyo
Print ISBN: 978-4-431-68534-0
Online ISBN: 978-4-431-68532-6
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