A Bridge between American and European Options: The “Ameripean” Delayed-Exercise Model

DOI10.1137/09077730XzbMath1271.62245OpenAlexW2026037195MaRDI QIDQ5388692

Peter W. Duck, David P. Newton, Paul Johnson, Nicholas J. Sharp

Publication date: 19 April 2012

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/09077730x

zbMATH Keywords

American optionsBlack-Scholes equationEuropean optionsoption-pricing theoryParAsian optionsdelayed exercise

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Perpetual Options on Multiple Underlyings

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