The saga of the American Put

The American put is one of the oldest problems in mathematical finance. We review the development of the relevant literature over the last 40 years. Today the mainstream computational problems have been solved satisfactorily and the target of research is shifting towards the development of further insights into the value of timing investment decisions.

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Year of publication:	2003-07-10
Authors:	Barone-Adesi, Giovanni
Institutions:	Institut für Schweizerisches Bankwesen <Zürich> ; National Centre of Competence in Research North South <Bern>
Subject:	Finanzmathematik \| Differential-Differenzengleichung \| Put-Option \| put option

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Extent:	11 p. application/pdf
Series:	Universität Zürich - Institut für Schweizerisches Bankwesen - Working Papers Working Paper ; No. 133 (2003)
Type of publication:	Book / Working Paper
Language:	English
Classification:	Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; USA
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005858384