The perpetual American put option for jump-diffusions: Implications for equity premiums
Year of publication: |
2004-12-17
|
---|---|
Authors: | Aase, Knut K. |
Institutions: | Institutt for foretaksøkonomi, Norges Handelshøyskole (NHH) |
Subject: | Optimal exercise policy | American put option | perpetual option | optimal stopping | incomplete markets | equity premiums | CCAPM |
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