Sensitivity analysis of the optimal exercise boundary of the American put option (Q313736)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sensitivity analysis of the optimal exercise boundary of the American put option |
scientific article |
Statements
Sensitivity analysis of the optimal exercise boundary of the American put option (English)
0 references
12 September 2016
0 references
American put option
0 references
diffusion model
0 references
stochastic volatility
0 references
parabolic obstacle problem
0 references
optimal exercise boundary
0 references
value function
0 references
0 references
0 references
