Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
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Publication:1627819
DOI10.1007/S10690-017-9234-1zbMath1418.91508arXiv1611.00885OpenAlexW2548861215MaRDI QIDQ1627819
Daniel Ševčovič, Yaser Kord Faghan, Maria do Rosário Grossinho
Publication date: 3 December 2018
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1611.00885
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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