A direct solution method for pricing options involving the maximum process
Masahiko Egami, Tadao Oryu
| Year of publication: |
October 2017
|
|---|---|
| Authors: | Egami, Masahiko ; Oryu, Tadao |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 21.2017, 4, p. 967-993
|
| Subject: | American options with maximum process | Optimal stopping | Excursion theory | Diffusions | Optionspreistheorie | Option pricing theory | Suchtheorie | Search theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-017-0343-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011944460