OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS NEAR EXPIRY (Q3057465): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q315619 |
||
Property / author | |||
Property / author: Song-Ping Zhu / rank | |||
Revision as of 23:01, 12 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS NEAR EXPIRY |
scientific article |
Statements
OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS NEAR EXPIRY (English)
0 references
24 November 2010
0 references
American put option
0 references
local volatility model
0 references
singular perturbation
0 references
optimal exercise price
0 references