Gad, Kamille Sofie Tågholt; Pedersen, Jesper Lund - In: Risks 3 (2015) 2, pp. 103-111
In this paper, irrational exercise behavior of the buyer of an American put is characterized by a single parameter. We model irrational exercise rules as the first jump time of a point processes with stochastic intensity. By the rationality parameter, we parameterize a family of stochastic...