Perpetual Options on Multiple Underlyings

DOI10.1080/1350486X.2013.825437zbMath1396.91726OpenAlexW1987690368MaRDI QIDQ4585898

Geoffrey W. Evatt, Peter W. Duck, Paul Johnson

Publication date: 11 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2013.825437

zbMATH Keywords

stochastic volatilityoption pricingAmerican optionsrainbow optionsperpetual optionsHeston volatility model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

On closed form expressions for probability of operational success and expected lifetime

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options
• A Theory of the Term Structure of Interest Rates
• The expected lifetime of an extraction project
• A long time asymptotic behavior of the free boundary for an American put
• THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
• SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING
• A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
• American options on assets with dividends near expiry
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• A Bridge between American and European Options: The “Ameripean” Delayed-Exercise Model
• On Nonlinear Models of Markets with Finite Liquidity: Some Cautionary Notes
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Perpetual Options on Multiple Underlyings