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On the Pricing of American Options in Exponential Lévy Markets

  • Roman V. Ivanov (a1)

Abstract

In this paper, we discuss the problem of the pricing of American-style options in the exponential Lévy security market model. This model is typically incomplete, and we derive the explicit bounds of the interval of no arbitrage prices and the related optimal stopping moments for American put options and American call options in both finite and infinite horizon time. We consider a large class of Lévy processes.

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Copyright

Corresponding author

Postal address: Laboratory 38, Institute of Control Sciences, Russian Academy of Sciences, Profsoyuznaya 65, 117997 Moscow, Russia. Email address: roivanov@yahoo.com

References

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On the Pricing of American Options in Exponential Lévy Markets

  • Roman V. Ivanov (a1)

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