Pricing formulas for perpetual American options with general payoffs
Year of publication: |
2022
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Authors: | Rodrigo, Marianito R. |
Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 33.2022, 2, p. 201-228
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Subject: | perpetual American option | Black-Scholes theory | free boundary problem | optimal exerciseboundary | Mellin transform | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model |
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