Pricing perpetual American put options with asset-dependent discounting
Year of publication: |
2021
|
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Authors: | Al-Hadad, Jonas ; Palmowski, Zbigniew |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 14.2021, 3, p. 1-19
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Publisher: |
Basel : MDPI |
Subject: | American option | Lévy process | option pricing |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/jrfm14030130 [DOI] 175960254X [GVK] hdl:10419/239546 [Handle] |
Classification: | G13 - Contingent Pricing; Futures Pricing ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: |
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