Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
Maria do Rosário Grossinho, Yaser Kord Faghan, Daniel Ševčovič
| Year of publication: |
December 2017
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|---|---|
| Authors: | Grossinho, Maria do Rosário ; Kord, Yaser ; Ševčovič, Daniel |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 24.2017, 4, p. 291-308
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| Subject: | Option pricing | Nonlinear Black-Scholes equation | Perpetual American put option | Early exercise boundary | Black-Scholes-Modell | Black-Scholes model | Optionspreistheorie | Option pricing theory | Experiment | Optionsgeschäft | Option trading | Volatilität | Volatility | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10690-017-9234-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011797690