Egloff, Daniel; Farkas, Walter; Leippold, Markus - Institut für Schweizerisches Bankwesen <Zürich> - 2005
This paper concerns the pricing of American options with stochastic stopping time constraints expressed in terms of the states of a Markov process. Following the ideas of Menaldi, Robin, and Sun (1996) we transform the constrained into an unconstrained optimal stopping problem. The...