Pricing of perpetual American options in a model with partial information
Pavel V. Gapeev
| Year of publication: |
2012
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|---|---|
| Authors: | Gapeev, Pavel V. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 1, p. 1-21
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| Subject: | Perpetual American option | stochastic dividend rate | discounted two-dimensional optimal stopping problem | stochastic boundary | diffusion process | hidden Markov chain | filtering estimate | innovation process | parabolic-type free-boundary problem | change-of-variable formula with local time on surfaces | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Black-Scholes-Modell | Black-Scholes model | Suchtheorie | Search theory | Optionsgeschäft | Option trading | Dividende | Dividend |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009562132