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Closed-form solutions of American perpetual put option under a structurally changing asset - MaRDI portal

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Closed-form solutions of American perpetual put option under a structurally changing asset (Q2895908)

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scientific article; zbMATH DE number 6055396
Language Label Description Also known as
English
Closed-form solutions of American perpetual put option under a structurally changing asset
scientific article; zbMATH DE number 6055396

    Statements

    author
    Dong-Hoon Shin
    0 references
    publication date
    13 July 2012
    0 references
    zbMATH Keywords
    option pricing
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    American perpetual options
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    change point process
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    structural changes
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    optimal stopping time
    0 references
    title
    Closed-form solutions of American perpetual put option under a structurally changing asset (English)
    0 references

    Identifiers

    zbMATH DE Number
    6055396
    0 references
     
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