Add to ORKGThis paper discusses the martingale approach for pricing American-type options without an expiry date. These options include the perpetual American put option and the perpetual maximum option in one stock case. The word “perpetual ” means that the option has no expiry date. A main tool in this approach is the principle of smooth pasting.
The major characteristic of the cancellable American options is the existing writer’s right to cance...
This paper investigates American puts on a dividend-paying underlying whose volatility is a function...
In this article the problem of the American option valuation in a Lévy process setting is analysed. ...
An American option give an investor the right but not the obligation to buy a call or sell a put at ...
This master thesis will demonstrate how to price perpetual American options with linear programming....
An American option gives the holder the right, but not the obligation, to buy/sell an underlying ass...
This paper proposes a closed-form solution for pricing an American put option on a non-dividend payi...
Perpetual American warrants have been traded on the stock exchanges or over the counter at least sin...
We introduce a new analytical approach to price American options. Using an explicit and intuitive pr...
The method of Esscher transforms is a tool for valuing options on a stock, if the logarithm of the s...
An American option give an investor the right but not the obligation to buy a call or sell a put at ...
Perpetual American warrants have been traded on the stock exchanges or over the counter at least sin...
In this thesis, pricing of American options are analyzed in discrete and continuous time markets. We...
With regard to a particular derivatives instruments, the famous Black-Scholes model development on 1...
The aim of this paper is to price an American style option when there is uncertainty on the volatili...
The major characteristic of the cancellable American options is the existing writer’s right to cance...
This paper investigates American puts on a dividend-paying underlying whose volatility is a function...
In this article the problem of the American option valuation in a Lévy process setting is analysed. ...
An American option give an investor the right but not the obligation to buy a call or sell a put at ...
This master thesis will demonstrate how to price perpetual American options with linear programming....
An American option gives the holder the right, but not the obligation, to buy/sell an underlying ass...
This paper proposes a closed-form solution for pricing an American put option on a non-dividend payi...
Perpetual American warrants have been traded on the stock exchanges or over the counter at least sin...
We introduce a new analytical approach to price American options. Using an explicit and intuitive pr...
The method of Esscher transforms is a tool for valuing options on a stock, if the logarithm of the s...
An American option give an investor the right but not the obligation to buy a call or sell a put at ...
Perpetual American warrants have been traded on the stock exchanges or over the counter at least sin...
In this thesis, pricing of American options are analyzed in discrete and continuous time markets. We...
With regard to a particular derivatives instruments, the famous Black-Scholes model development on 1...
The aim of this paper is to price an American style option when there is uncertainty on the volatili...
The major characteristic of the cancellable American options is the existing writer’s right to cance...
This paper investigates American puts on a dividend-paying underlying whose volatility is a function...
In this article the problem of the American option valuation in a Lévy process setting is analysed. ...