User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Kallsen, J.; Kühn, C. 
Non-TUM Co-author(s):
ja 
Cooperation:
national 
Title:
Pricing Derivatives of American and Game Type in Incomplete Markets 
Abstract:
In this paper the neutral valuation approach is applied to American and game options in incomplete markets. Neutral prices occur if investors are utility maximizers and if derivative supply and demand are balanced. Game contingent claims are derivative contracts that can be terminated by both counterparties at any time before expiration. They generalize American options where this right is limited to the buyer of the claim. In turns out that as in the complete case, the price process of American...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Finance and Stochastics 
Year:
2004 
Journal volume:
Journal issue:
Pages contribution:
261-284 
Reviewed:
ja 
Language:
en 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
versions