Pricing of perpetual American put with fractional O-U process (Q3538526)
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scientific article; zbMATH DE number 5371564
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| English | Pricing of perpetual American put with fractional O-U process |
scientific article; zbMATH DE number 5371564 |
Statements
24 November 2008
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perpetual American put
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fractional Ornstein-Uhlenbeck process
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delta hedging
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0.8570804595947266
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0.8428979516029358
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0.8075857162475586
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0.8051517009735107
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