Pricing of Perpetual American Options in a Model with Partial Information
Year of publication: |
2010
|
---|---|
Authors: | Gapeev, Pavel V. |
Publisher: |
[2010]: [S.l.] : SSRN |
Subject: | Optionspreistheorie | Option pricing theory | Unvollkommene Information | Incomplete information | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
Extent: | 1 Online-Ressource (23 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 23, 2010 erstellt |
Other identifiers: | 10.2139/ssrn.1696542 [DOI] |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
An Iterative Method for Pricing American Options Under Jump-Diffusion Models
Salmi, Santtu, (2012)
-
Construction and Interpretation of Model-Free Implied Volatility
Andersen, Torben, (2011)
-
Time Dependent Barrier Option Values
Hui, Cho-Hoi, (2007)
- More ...
-
Multiple Disorder Problems for Wiener Compound Poisson Processes With Exponential Jumps
Gapeev, Pavel V., (2006)
-
Integral Options in Models with Jumps
Gapeev, Pavel V., (2006)
-
On Maximal Inequalities for some Jump Processes
Gapeev, Pavel V., (2006)
- More ...