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Pricing of perpetual American put with fast diffusion process - MaRDI portal

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Pricing of perpetual American put with fast diffusion process (Q2858850)

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scientific article; zbMATH DE number 6229953
Language Label Description Also known as
English
Pricing of perpetual American put with fast diffusion process
scientific article; zbMATH DE number 6229953

    Statements

    author
    Daheng Peng
    0 references
    publication date
    19 November 2013
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    zbMATH Keywords
    fast diffusion
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    perpetual American put
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    quadratic approximation
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    title
    Pricing of perpetual American put with fast diffusion process (English)
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G46
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    60J60
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    zbMATH DE Number
    6229953
    0 references
     
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