Perpetual American vanilla option pricing under single regime change risk: an exhaustive study

DOI10.1088/1742-5468/2009/07/P07016zbMath1459.91198arXiv0812.0556OpenAlexW3104433535MaRDI QIDQ3301076

Miquel Montero

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.0556

zbMATH Keywords

stochastic processesfinancial instruments and regulationmodels of financial marketsrisk measure and management

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
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