Perpetual exchange options under jump-diffusion dynamics
Gerald H.L. Cheang & Guanghua Lian
| Year of publication: |
Nov.-Dec. 2015
|
|---|---|
| Authors: | Cheang, Gerald H. L. ; Lian, Guanghua |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 22.2015, 5/6, p. 450-462
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| Subject: | Perpetual American options | exchange options | compound Poisson processes | optimal stopping | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Suchtheorie | Search theory | 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: | 10.1080/1350486X.2015.1061443 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011490614