Bounds for the American perpetual put on a stock index

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Publication:2731150

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DOI10.1239/JAP/996986643zbMath0979.91042OpenAlexW2012817629MaRDI QIDQ2731150

Volkert Paulsen

Publication date: 29 July 2001

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/996986643

zbMATH Keywords

interest rate price process fair price American put

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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