Analytical and Numerical Results for American Style of Perpetual Put Options Through Transformation into Nonlinear Stationary Black-Scholes Equations
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Publication:4626498
DOI10.1007/978-3-319-61282-9_8zbMath1420.91457arXiv1707.00356OpenAlexW2730713017MaRDI QIDQ4626498
Maria do Rosário Grossinho, Yaser Faghan, Daniel Ševčovič
Publication date: 28 February 2019
Published in: Novel Methods in Computational Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1707.00356
Numerical methods (including Monte Carlo methods) (91G60) 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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