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    STUDIA MATHEMATICA - Issue no. 2 / 2009  
         
  Article:   A CONSTRUCTION OF ADMISSIBLE STRATEGIES FOR AMERICAN OPTIONS ASSOCIATED WITH PIECEWISE CONTINUOUS PROCESSES.

Authors:  BOGDAN IFTIMIE, MARINELA MARINESCU.
 
       
         
  Abstract:  We provide the construction of some admissible strategies in a “feedback shape” for American Options, and where the contingent claim depends on a nontrivial solution of some possibly degenerate elliptic inequation.

Key words and phrases: American options, admissible strategies, piecewise continuous process, degenerate elliptic equation.

 
         
     
         
         
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