Pricing perpetual American compound options under a matrix-exponential jump-diffusion model
Ming-Chi Chang, Yuan-Chung Sheu & Ming-Yao Tsai
| Year of publication: |
Nov.-Dec. 2015
|
|---|---|
| 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
|
| Subject: | Option pricing | perpetual American compound option | optimal stopping problem | jump-diffusion process | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Stochastischer Prozess | Stochastic process | Suchtheorie | Search theory | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2015.1118354 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011490624