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- W3121719916 abstract "We solve the problem of pricing and optimal exercise of American call-type options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical Analysis, 15:89-168, 2009]." @default.
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- W3121719916 date "2009-12-01" @default.
- W3121719916 modified "2023-09-27" @default.
- W3121719916 title "Strict Local Martingale Deflators and Pricing American Call-Type Options" @default.
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