Pricing perpetual American compound options under a matrix-exponential jump-diffusion model
Year of publication: |
Nov.-Dec. 2015
|
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Authors: | Chang, Ming-Chi ; Sheu, Yuan-Chung ; Tsai, Ming-Yao |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 22.2015, 5/6, p. 553-575
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Subject: | Option pricing | perpetual American compound option | optimal stopping problem | jump-diffusion process | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading |
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