Abstract
The problem of valuation for contingent claims that can be exercised at any time before or at maturity, such as American options, is discussed in the manner of Bensoussan [1]. We offer an approach which both simplifies and extends the results of existing theory on this topic.
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Research supported in part by the National Science Foundation under Grant No. NSF-DMS-84-16736 and by the Air Force Office of Scientific Research under Grant No. F49620-85-C-0144.
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Karatzas, I. On the pricing of American options. Appl Math Optim 17, 37–60 (1988). https://doi.org/10.1007/BF01448358
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DOI: https://doi.org/10.1007/BF01448358