Closed-form solution for the critical stock price and the price of perpetual American call options via the improved Mellin transforms
Sunday Emmanuel Fadugba, Chuma Raphael Nwozo
| Year of publication: |
2018
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|---|---|
| Authors: | Fadugba, Sunday Emmanuel ; Nwozo, Chuma Raphael |
| Published in: |
International journal of financial markets and derivatives. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-7130, ZDB-ID 2550152-5. - Vol. 6.2018, 4, p. 269-286
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| Subject: | American call option | Black-Scholes equation | critical stock price | Gauss-Laguerre quadrature method | improved Mellin transforms | non-dividend yield | perpetual American call option | Optionspreistheorie | Option pricing theory | Börsenkurs | Share price | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model | Derivat | Derivative |