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A Remark on American Securities

  • Shigeo Kusuoka

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.

Keywords

Trading Strategy Hedging Strategy Predictable Process Short Sale Complete Probability Space 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Tokyo 1996

Authors and Affiliations

  • Shigeo Kusuoka
    • 1
  1. 1.Graduate School of Mathematical SciencesUniversity of TokyoMeguro-ku, Tokyo 153Japan

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