Randomized stopping times and early exercise for american derivatives in dry markets

dc.contributor.authorJOÃO MANUEL GONÇALVES AMARO DE MATOS
dc.contributor.authorLacerda, Ana
dc.coverage.paisNão Informadopt_BR
dc.creatorLacerda, Ana
dc.date.accessioned2022-11-25T22:53:36Z
dc.date.available2022-11-25T22:53:36Z
dc.date.issued2016
dc.description.notesTexto completopt_BR
dc.description.otherThis paper studies the impact of dry markets for underlying assets on the optimal stopping time and optimal exercise policy of American derivatives. We consider that the underlying is transacted at all points in time except for a subset of dates, for which there is an exogenous probability that trading may exist. Using superreplicat ing strategies, we derive expectation representations for the range of arbitrage-free values of the derivatives. For arbitrary probability, an enlarged filtration jointly in duced by the price process and the market existence process makes ordinary stop ping times sufficient to characterize such representation. For the deterministic case where the probability is zero, randomized stopping times are required. Several com parisons of the ranges obtained with the two market restrictions are performed. Fi nally, we conclude that market incompleteness caused by dryness may delay the op timal exercise of American derivatives.pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doihttp://dx.doi.org/10.4236/jmf.2016.65057pt_BR
dc.identifier.issn2162-2434pt_BR
dc.identifier.issn2162-2442pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4762
dc.language.isoInglêspt_BR
dc.publisherNão informadopt_BR
dc.relation.ispartofJournal of Mathematical Financept_BR
dc.relation.urihttp://dx.doi.org/10.4236/jmf.2016.65057pt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR.pt_BR
dc.subject.keywordsOption pricingpt_BR
dc.subject.keywordsIncomplete marketspt_BR
dc.subject.keywordsDry marketspt_BR
dc.subject.keywordsOptimal stopping timept_BR
dc.subject.keywordsRandomized stopping timept_BR
dc.titleRandomized stopping times and early exercise for american derivatives in dry marketspt_BR
dc.typejournal article
dspace.entity.typePublication
local.typeArtigo Científicopt_BR
relation.isAuthorOfPublicationac890f41-33de-45ce-aec9-008f4e484060
relation.isAuthorOfPublication.latestForDiscoveryac890f41-33de-45ce-aec9-008f4e484060
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