Pricing perpetual American put options with asset-dependent discounting
| Year of publication: |
2021
|
|---|---|
| Authors: | Al-Hadad, Jonas ; Palmowski, Zbigniew |
| Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 14.2021, 3, p. 1-19
|
| Publisher: |
Basel : MDPI |
| Subject: | American option | Lévy process | option pricing |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Article |
| Language: | English |
| Other identifiers: | 10.3390/jrfm14030130 [DOI] 175960254X [GVK] hdl:10419/239546 [Handle] |
| Classification: | G13 - Contingent Pricing; Futures Pricing ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
| Source: |
Persistent link: https://www.econbiz.de/10012611687