A Remark on American Securities

Kusuoka, Shigeo

doi:10.1007/978-4-431-68532-6_14

Shigeo Kusuoka⁵

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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.

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Authors and Affiliations

Graduate School of Mathematical Sciences, University of Tokyo, Komaba, Meguro-ku, Tokyo 153, Japan
Shigeo Kusuoka

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Shigeo Kusuoka
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Editors and Affiliations

Department of Computer Science, Ritsumeikan University, 525-77, Kusatsu, Shiga, Japan
Nobuyuki Ikeda (Professor) (Professor)
Department of Mathematics, Graduate School of Science, Kyoto University, 606-01, Kyoto, Japan
Shinzo Watanabe (Professor) (Professor)
Department of Mathematics, Faculty of Fundamental Engineering, Osaka University, Toyonaka, Osaka, 560, Japan
Masatoshi Fukushima (Professor) (Professor)
Graduate School of Mathematics, Kyushu University, Fukuoka, 812, Japan
Hiroshi Kunita (Professor) (Professor)

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Kusuoka, S. (1996). A Remark on American Securities. In: Ikeda, N., Watanabe, S., Fukushima, M., Kunita, H. (eds) Itô’s Stochastic Calculus and Probability Theory. Springer, Tokyo. https://doi.org/10.1007/978-4-431-68532-6_14

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DOI: https://doi.org/10.1007/978-4-431-68532-6_14
Publisher Name: Springer, Tokyo
Print ISBN: 978-4-431-68534-0
Online ISBN: 978-4-431-68532-6
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