摘要翻译：
在不一定允许等价局部鞅测度的市场上，我们解决了美式看涨期权的定价和最优执行问题。这解决了Fernholz和Karatzas提出的一个悬而未决的问题[Rochastic Portfolio Theory：A Survey,Handbook of Numerical Analysis,15:89-168,2009]。
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英文标题：
《Strict Local Martingale Deflators and Pricing American Call-Type Options》
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作者：
Erhan Bayraktar, Constantinos Kardaras, Hao Xing
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  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].
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PDF链接：
https://arxiv.org/pdf/0908.1082