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Perpetual Options on Multiple Underlyings - MaRDI portal

Perpetual Options on Multiple Underlyings (Q4585898)

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scientific article; zbMATH DE number 6934619
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English
Perpetual Options on Multiple Underlyings
scientific article; zbMATH DE number 6934619

    Statements

    title
    Perpetual Options on Multiple Underlyings (English)
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    author
    Peter W. Duck
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    Geoffrey W. Evatt
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    Paul Johnson
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    publication date
    11 September 2018
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    zbMATH Keywords
    option pricing
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    perpetual options
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    American options
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    rainbow options
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    Heston volatility model
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    stochastic volatility
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G40
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    60H30
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    zbMATH DE Number
    6934619
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    OpenAlex ID
    W1987690368
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