Jamshidian, Farshid - EconWPA - 2004
Part I proposes a numeraire-invariant option pricing framework. It defines an option, its price process, and such … established in general. The american option is then defined, and its pricing formula (for all times) is presented. Applying a … notions as option indistinguishability and equivalence, domination, payoff process, trigger option, and semipositive option …