Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model (Q1946533): Difference between revisions
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Revision as of 21:44, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model |
scientific article |
Statements
Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model (English)
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15 April 2013
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American perpetual warrants
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optimal stopping
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optimal exercise
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linear programming
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duality
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combination of state-transition probabilities
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geometric random walk model
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discrete state Markov process
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complementary slackness conditions
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underlying stock price
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economic discount factor
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predetermined expiration date
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prevailing interest rate
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underlying equity
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value function
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critical value excessive-majorant property
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discrete-time pricing
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