American-Type Options

3 American-type options for continuous time Markov LPP

In Chapter 3, we introduce models of continuous time multivariate modulated Markov log-price and price processes as well as define American-type options for such processes.

In Section 3.1 we introduce continuous time multivariate modulated Markov log-price and price processes and consider general questions connected with such processes, namely phase spaces, spaces of trajectories, filtrations. and etc. In particular, we discuss and comment the sense of introducing a stochastic modulating index component and consider different variants of modulation.

In Section 3.2, we present models of continuous time price processes with independent increments including Levy type log-price and price processes. ...