American prices embedded in european prices
Annales de l'I.H.P. Analyse non linéaire, Tome 18 (2001) no. 1, pp. 1-17. 
@article{AIHPC_2001__18_1_1_0,
     author = {Jourdain, Benjamin and Martini, Claude},
     title = {American prices embedded in european prices},
     journal = {Annales de l'I.H.P. Analyse non lin\'eaire},
     pages = {1--17},
     publisher = {Elsevier},
     volume = {18},
     number = {1},
     year = {2001},
     mrnumber = {1810268},
     zbl = {0982.60028},
     language = {en},
     url = {http://www.numdam.org/item/AIHPC_2001__18_1_1_0/}
}
TY  - JOUR
AU  - Jourdain, Benjamin
AU  - Martini, Claude
TI  - American prices embedded in european prices
JO  - Annales de l'I.H.P. Analyse non linéaire
PY  - 2001
SP  - 1
EP  - 17
VL  - 18
IS  - 1
PB  - Elsevier
UR  - http://www.numdam.org/item/AIHPC_2001__18_1_1_0/
LA  - en
ID  - AIHPC_2001__18_1_1_0
ER  - 
%0 Journal Article
%A Jourdain, Benjamin
%A Martini, Claude
%T American prices embedded in european prices
%J Annales de l'I.H.P. Analyse non linéaire
%D 2001
%P 1-17
%V 18
%N 1
%I Elsevier
%U http://www.numdam.org/item/AIHPC_2001__18_1_1_0/
%G en
%F AIHPC_2001__18_1_1_0
Jourdain, Benjamin; Martini, Claude. American prices embedded in european prices. Annales de l'I.H.P. Analyse non linéaire, Tome 18 (2001) no. 1, pp. 1-17. http://www.numdam.org/item/AIHPC_2001__18_1_1_0/

1 Crank J, Free and Moving Boundary Problems, Oxford University Press, 1984. | MR | Zbl

2 Martini C, The UVM model and American options, Rapport de Recherche no 3697, INRIA, 1999.

3 Musiela M, Rutkowski M, Martingale Methods In Financial Modelling, Springer, 1998. | Zbl

4 Revuz D, Yor M, Continuous Martingales and Brownian Motion, Springer, 1991. | MR | Zbl